Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 20.1 -6.9%
- S&P 500 Intraday % Swing .63 +71.5%
- Bloomberg Global Risk On/Risk Off Index 70.6 +2.9%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.79 -.18%
- Euro/Yen Carry Return Index 187.4 -.14%
- Emerging Markets Currency Volatility(VXY) 8.14 +1.2%
- CBOE S&P 500 Implied Correlation Index 22.0 -7.0%
- ISE Sentiment Index 130.0 -14.0
- Total Put/Call .91 -3.2%
- NYSE Arms 1.34 -.74%
- NYSE Non-Block Money Flow -$94.3M
Credit Investor Angst:
- North American Investment Grade CDS Index 56.2 -1.1%
- US Energy High-Yield OAS 376.0 +.1%
- Bloomberg TRACE # Distressed Bonds Traded 224.0 +3.0
- European Financial Sector CDS Index 63.2 +1.9%
- Deutsche Bank Subordinated 5Y Credit Default Swap 143.3 +1.5%
- Italian/German 10Y Yld Spread 95.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 78.0 +1.5%
- Emerging Market CDS Index 168.5 +1.2%
- Israel Sovereign CDS 112.77 +2.3%
- China Corp. High-Yield Bond USD ETF(KHYB) 23.9 +.15%
- 2-Year SOFR Swap Spread -22.5 basis points +.25 basis point
- 3M T-Bill Treasury Repo Spread 3.5 basis point +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +.25 basis point
- MBS 5/10 Treasury Spread 152.0 unch.
- Bloomberg CMBS Investment Grade Bbb Average OAS 609.0 +2.0 basis points
- Avg. Auto ABS OAS 56.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 37.0 unch.
- US 10-Year T-Note Yield 4.39% unch.
- 3-Month T-Bill Yield 4.32% +2.0 basis points
- China Iron Ore Spot 92.7 USD/Metric Tonne +.3%
- Dutch TTF Nat Gas(European benchmark) 38.7 euros/megawatt-hour -1.6%
- Citi US Economic Surprise Index -23.1 -2.3 points
- Citi Eurozone Economic Surprise Index 30.6 +.3 point
- Citi Emerging Markets Economic Surprise Index 31.7 +.2 point
- S&P 500 Current Quarter EPS Growth Rate YoY(4 of 500 reporting) +.3% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 278.28 +.07: Growth Rate +9.5% unch., P/E 21.6 unch.
- S&P 500 Current Year Estimated Profit Margin 13.22% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(0 of 10 reporting) n/a
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 432.75 +.23: Growth Rate +15.9% +.1 percentage point, P/E 32.9 -.2
- Bloomberg US Financial Conditions Index .26 -14.0 basis points
- Bloomberg Euro-Zone Financial Conditions Index .85 -5.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 4.4 +.1
- US Yield Curve 43.25 basis points (2s/10s) -5.0 basis points
- US Atlanta Fed GDPNow Q2 Forecast +3.4% -.1 percentage point
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 40.5% +.8 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.58% unch.: CPI YoY +2.62% +1.0 basis point
- 1-Year TIPS Spread 2.67 +2.0 basis points
- 10-Year TIPS Spread 2.32 unch.
- Highest target rate probability for July 30th FOMC meeting: 89.4% (+6.1 percentage points) chance of 4.25%-4.5%. Highest target rate probability for Sept. 17th meeting: 60.0%(+6.9 percentage points) chance of 4.0%-4.25%. (current target rate is 4.25-4.5%)
Polymarket:
- US Military Action Against Iran Before July 55.0% -11.0 percentage points
- Will Iran Close the Straight of Hormuz in 2025? 34.0% -5.0 percentage points
- US-EU Trade Agreement by July 9th 47.0% -8.0 percentage points
- Reconciliation Bill Passed by July 31st 69.0% +4.0 percentage points
Overseas Futures:
- Nikkei 225 Futures: Indicating -160 open in Japan
- China A50 Futures: Indicating -116 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 25% Net Long
No comments:
Post a Comment