Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 23.9 -4.9%
- S&P 500 Intraday % Swing .83 -46.4%
- Bloomberg Global Risk On/Risk Off Index 60.8 +2.2%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.82 -.75%
- Euro/Yen Carry Return Index 181.8 -.12%
- Emerging Markets Currency Volatility(VXY) 8.6 -.2%
- CBOE S&P 500 Implied Correlation Index 33.5 -3.0%
- ISE Sentiment Index 127.0 +2.0
- Total Put/Call .91 +7.1%
- NYSE Arms 1.36 +58.1%
- NYSE Non-Block Money Flow -$206.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 67.0 -.4%
- US Energy High-Yield OAS 466.2 +2.8%
- Bloomberg TRACE # Distressed Bonds Traded 275.0 +18.0
- European Financial Sector CDS Index 71.1 +.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 160.0 -3.0%
- Italian/German 10Y Yld Spread 111.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 94.6 +.8%
- Emerging Market CDS Index 195.2 -.2%
- Israel Sovereign CDS 102.4 +1.4%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.7 -.16%
- 2-Year SOFR Swap Spread -24.0 basis points -.75 basis point
- 3M T-Bill Treasury Repo Spread -6.5 basis point -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 +.25 basis point
- MBS 5/10 Treasury Spread 158.0 +1.0 basis point
- Bloomberg CMBS Investment Grade Bbb Average OAS 639.0 -1.0 basis point
- Avg. Auto ABS OAS 77.0 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.99 +.06%
- US 10-Year T-Note Yield 4.17% -3.0 basis points
- 3-Month T-Bill Yield 4.28% -1.0 basis point
- China Iron Ore Spot 98.4 USD/Metric Tonne -.06%
- Dutch TTF Nat Gas(European benchmark) 31.9 euros/megawatt-hour -1.7%
- Citi US Economic Surprise Index -6.2 -7.0 points
- Citi Eurozone Economic Surprise Index -19.3 -7.1 points
- Citi Emerging Markets Economic Surprise Index 13.5 +.2 point
- S&P 500 Current Quarter EPS Growth Rate YoY(216 of 500 reporting) +15.1% -2.4 percentage points
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 275.67 -.09: Growth Rate +12.2% unch., P/E 20.1 +.2
- S&P 500 Current Year Estimated Profit Margin 13.40% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(3 of 10 reporting) +43.2% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 421.39 +.44: Growth Rate +21.9% +.2 percentage point, P/E 29.2 +.3
- Bloomberg US Financial Conditions Index -.24 -3.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .98 +1.0 basis point
- Bloomberg Global Trade Policy Uncertainty Index 10.7 +.1
- US Yield Curve 51.5 basis points (2s/10s) -1.0 basis point
- US Atlanta Fed GDPNow Q1 Forecast -2.7% -20.0 basis points
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 45.8% +2.5 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.54% unch.: CPI YoY +2.35% unch.
- 1-Year TIPS Spread 3.21 -5.0 basis points
- 10-Year TIPS Spread 2.23 -3.0 basis points
- Highest target rate probability for June 18th FOMC meeting: 57.2% (unch.) chance of 4.0%-4.25%. Highest target rate probability for July 30th meeting: 49.3%(+3.0 percentage points) chance of 3.75%-4.0%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +370 open in Japan
- China A50 Futures: Indicating -21 open in China
- DAX Futures: Indicating +210 open in Germany
Portfolio:
- Higher: On gains in my utility/tech/industrial/consumer discretionary sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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