Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.0 -6.0%
- DJIA Intraday % Swing 1.38 +88.1%
- Bloomberg Global Risk On/Risk Off Index 50.3 +1.7%
- Euro/Yen Carry Return Index 175.6 -.08%
- Emerging Markets Currency Volatility(VXY) 8.9 unch.
- CBOE S&P 500 Implied Correlation Index 21.5 -5.3%
- ISE Sentiment Index 140.0 +22.0
- Total Put/Call .65 -33.7%
- NYSE Arms 1.05 -18.0%
- NYSE Non-Block Money Flow -$66.5M
Credit Investor Angst:
- North American Investment Grade CDS Index 51.51 -.98%
- US Energy High-Yield OAS 316.43 -.07%
- Bloomberg TRACE # Distressed Bonds Traded 249 -9
- European Financial Sector CDS Index 62.3 +.2%
- Deutsche Bank Subordinated 5Y Credit Default Swap 166.3 -.83%
- Italian/German 10Y Yld Spread 143.0 basis points -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 95.5 -1.1%
- Emerging Market CDS Index 166.0 -.51%
- Israel Sovereign CDS 135.1 +.17%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.82 +.11%
- 2-Year SOFR Swap Spread -20.25 basis points -.5 basis point
- Treasury Repo 3M T-Bill Spread -25.75 basis points -5.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -.75 basis point
- MBS 5/10 Treasury Spread 133.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 699.0 +4.0 basis points
- Avg. Auto ABS OAS 67.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 39.0 +.3%
- 3-Month T-Bill Yield 5.06% -2.0 basis points
- China Iron Ore Spot 92.4 USD/Metric Tonne +1.5%
- Dutch TTF Nat Gas(European benchmark) 36.2 euros/megawatt-hour +1.1%
- Citi US Economic Surprise Index -29.5 -.6 point
- Citi Eurozone Economic Surprise Index -36.4 +5.9 points
- Citi Emerging Markets Economic Surprise Index -8.0 unch.
- S&P 500 Current Quarter EPS Growth Rate YoY(497 of 500 reporting) +11.4% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 266.07 +.11: Growth Rate +13.9% +.1 percentage point, P/E 20.6 -.2
- S&P 500 Current Year Estimated Profit Margin 12.69% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +36.3% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 346.91 +.24: Growth Rate +22.7% +.1 percentage point, P/E 31.2 +.1
- Bloomberg US Financial Conditions Index .46 -8.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .70 -7.0 basis points
- US Yield Curve -2.25 basis point (2s/10s) -1.75 basis points
- US Atlanta Fed 3Q GDPNow Forecast +2.09% +5.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 72.3% +.4 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.74% unch.: CPI YoY +2.56% unch.
- 10-Year TIPS Spread 2.04 -2.0 basis points
- Highest target rate probability for Nov. 7th FOMC meeting: 48.8%(-.6 percentage point) chance of 4.5%-4.75%. Highest target rate probability for Dec. 18th meeting: 40.5%(+1.3 percentage points) chance of 4.25%-4.5%.
Overseas Futures:
- Nikkei 225 Futures: Indicating +333 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating +70 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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