Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.6 -.6%
- S&P 500 Intraday % Swing .41 -53.7%
- Bloomberg Global Risk On/Risk Off Index 69.6 +.7%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.77 +.48%
- Euro/Yen Carry Return Index 183.4 -.4%
- Emerging Markets Currency Volatility(VXY) 8.31 -.2%
- CBOE S&P 500 Implied Correlation Index 21.0 -.7%
- ISE Sentiment Index 137.0 -9.0
- Total Put/Call .83 -10.8%
- NYSE Arms 1.44 +41.2%
- NYSE Non-Block Money Flow -$81.9M
Credit Investor Angst:
- North American Investment Grade CDS Index 55.0 +.05%
- US Energy High-Yield OAS 400.1 -.14%
- Bloomberg TRACE # Distressed Bonds Traded 235.0 -3.0
- European Financial Sector CDS Index 60.9 -.09%
- Deutsche Bank Subordinated 5Y Credit Default Swap 142.0 -.7%
- Italian/German 10Y Yld Spread 97.0 basis points unch.
- Asia Ex-Japan Investment Grade CDS Index 76.9 -1.9%
- Emerging Market CDS Index 165.6 -1.0%
- Israel Sovereign CDS 98.3 +1.1%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.7 +.01%
- 2-Year SOFR Swap Spread -21.25 basis points +.25 basis point
- 3M T-Bill Treasury Repo Spread 4.25 basis point +4.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.0 +.25 basis point
- MBS 5/10 Treasury Spread 155.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 611.0 -7.0 basis points
- Avg. Auto ABS OAS 58.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.1 +.1%
- US 10-Year T-Note Yield 4.36% -9.0 basis points
- 3-Month T-Bill Yield 4.34% +2.0 basis points
- China Iron Ore Spot 95.0 USD/Metric Tonne -.5%
- Dutch TTF Nat Gas(European benchmark) 33.7 euros/megawatt-hour -.6%
- Citi US Economic Surprise Index -3.1 -5.1 points
- Citi Eurozone Economic Surprise Index 24.6 +8.9 points
- Citi Emerging Markets Economic Surprise Index 33.7 +1.0 point
- S&P 500 Current Quarter EPS Growth Rate YoY(495 of 500 reporting) +12.4% -.1 percentage point
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 276.86 +.11: Growth Rate +9.0% +.1 percentage point, P/E 21.6 unch.
- S&P 500 Current Year Estimated Profit Margin 13.25% -1.0 basis point
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(9 of 10 reporting) +32.4% -.1 percentage point
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 428.75 +.35: Growth Rate +14.8% -9.1 percentage points, P/E 32.7 -.1
- Bloomberg US Financial Conditions Index .41 +5.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index 1.39 +7.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 7.4 -.2
- US Yield Curve 48.75 basis points (2s/10s) -1.25 basis points
- US Atlanta Fed GDPNow Q2 Forecast +4.6% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 40.0% -1.6 percentage points
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.65% unch.: CPI YoY +2.40% unch.
- 1-Year TIPS Spread 2.80 -6.0 basis points
- 10-Year TIPS Spread 2.31 -3.0 basis points
- Highest target rate probability for July 30th FOMC meeting: 69.6% (-5.7 percentage points) chance of 4.25%-4.5%. Highest target rate probability for Sept. 17th meeting: 56.0%(+.6 percentage point) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating -141 open in Japan
- China A50 Futures: Indicating -69 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Higher: On gains in my consumer discretionary/tech/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment