Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 22.3 -5.4%
- S&P 500 Intraday % Swing 1.37 +.2%
- Bloomberg Global Risk On/Risk Off Index 63.0 +5.0%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.71 -.69%
- Euro/Yen Carry Return Index 183.9 +.77%
- Emerging Markets Currency Volatility(VXY) 9.0 -2.3%
- CBOE S&P 500 Implied Correlation Index 31.1 -5.0%
- ISE Sentiment Index 149.0 +10.0
- Total Put/Call .84 +6.3%
- NYSE Arms .80 -39.4%
- NYSE Non-Block Money Flow +$253.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 60.7 -4.3%
- US Energy High-Yield OAS 458.9 -3.7%
- Bloomberg TRACE # Distressed Bonds Traded 284.0 +1.0
- European Financial Sector CDS Index 66.3 -3.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 160.3 -1.6%
- Italian/German 10Y Yld Spread 105.0 basis points -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 90.2 -2.8%
- Emerging Market CDS Index 191.1 -1.3%
- Israel Sovereign CDS 107.2 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.75 +.03%
- 2-Year SOFR Swap Spread -22.5 basis points +1.0 basis point
- 3M T-Bill Treasury Repo Spread 3.25 basis point +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +.75 basis point
- MBS 5/10 Treasury Spread 153.0 -3.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 643.0 +1.0 basis point
- Avg. Auto ABS OAS 73.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.96 -.08%
- US 10-Year T-Note Yield 4.37% +10.0 basis points
- 3-Month T-Bill Yield 4.32% unch.
- China Iron Ore Spot 97.1 USD/Metric Tonne +.6%
- Dutch TTF Nat Gas(European benchmark) 35.3 euros/megawatt-hour +2.4%
- Citi US Economic Surprise Index -6.1 +.8 point
- Citi Eurozone Economic Surprise Index 10.7 +3.9 points
- Citi Emerging Markets Economic Surprise Index 23.3 +2.5 points
- S&P 500 Current Quarter EPS Growth Rate YoY(439 of 500 reporting) +12.4% +.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 275.81 -.11: Growth Rate +11.8% -.1 percentage point, P/E 20.7 +.3
- S&P 500 Current Year Estimated Profit Margin 13.32% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(7 of 10 reporting) +29.1% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 423.46 -.59: Growth Rate +22.5% -.1 percentage point, P/E 30.3 +.6
- Bloomberg US Financial Conditions Index -.07 +6.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.0 -8.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 9.5 -.5
- US Yield Curve 47.5 basis points (2s/10s) -.25 basis point
- US Atlanta Fed GDPNow Q2 Forecast +2.3% +.1 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 42.4% +.1 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.61% unch.: CPI YoY +2.34% unch.
- 1-Year TIPS Spread 3.12 +4.0 basis points
- 10-Year TIPS Spread 2.31 +4.0 basis points
- Highest target rate probability for July 30th FOMC meeting: 49.7% (-7.0 percentage points) chance of 4.0%-4.25%. Highest target rate probability for Sept. 17th meeting: 43.9%(+7.7 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +750 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating +203 open in Germany
Portfolio:
- Higher: On gains in my tech/consumer discretionary/industrial/utility sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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