Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.3 +.5%
- S&P 500 Intraday % Swing .32 -76.5%
- Bloomberg Global Risk On/Risk Off Index 79.7 -1.2%
- Swiss Franc/Offshore Chinese Renminbi Cross 8.97 +.47%
- Euro/Yen Carry Return Index 195.79 +.4%
- Emerging Markets Currency Volatility(VXY) 7.03 -.42%
- CBOE S&P 500 Implied Correlation Index 15.4 -2.5%
- ISE Sentiment Index 167.0 +23.0
- Total Put/Call .79 +9.7%
- NYSE Arms 1.37 +1.5%
- NYSE Non-Block Money Flow -$51.0M
Credit Investor Angst:
- North American Investment Grade CDS Index 49.9 +.08%
- US Energy High-Yield OAS 361.4 -4.9%
- Bloomberg TRACE # Distressed Bonds Traded 193.0 -7.0
- European Financial Sector CDS Index 57.0 -1.4%
- Deutsche Bank Subordinated 5Y Credit Default Swap 126.0 -.3%
- Italian/German 10Y Yld Spread 83.0 -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.08 -.5%
- Emerging Market CDS Index 145.6 +1.2%
- Israel Sovereign CDS 73.7 +.8%
- China Corp. High-Yield Bond USD ETF(KHYB) 24.4 +.06%
- 2-Year SOFR Swap Spread -23.75 basis points -.75 basis point
- 3M T-Bill Treasury Repo Spread -38.25 basis points +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap .75 unch.
- MBS 5/10 Treasury Spread 125.0 -7.0 basis points
- Bloomberg CMBS Investment Grade Bbb Average OAS 583.0 +3.0 basis points
- Avg. Auto ABS OAS 49.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 36.49 +.08%
- US 10-Year T-Note Yield 4.04% -3.0 basis points
- 3-Month T-Bill Yield 4.02% +2.0 basis points
- China Iron Ore Spot 105.7 USD/Metric Tonne +.3%
- Dutch TTF Nat Gas(European benchmark) 33.1 euros/megawatt-hour +3.4%
- Citi US Economic Surprise Index 21.8 +1.7 points
- Citi Eurozone Economic Surprise Index 17.8 -2.3 points
- Citi Emerging Markets Economic Surprise Index 11.8 -.1 point
- S&P 500 Current Quarter EPS Growth Rate YoY(496 of 500 reporting) +12.6% unch.
- S&P 500 Blended Forward 12 Months Mean EPS Estimate 290.25 +1.28: Growth Rate +11.3% +.5 percentage point, P/E 22.3 -.1
- S&P 500 Current Year Estimated Profit Margin 13.49% unch.
- NYSE FANG+ Current Quarter EPS Growth Rate YoY(10 of 10 reporting) +28.4% unch.
- NYSE FANG+ Blended Forward 12 Months Mean EPS Estimate 483.83 +7.03: Growth Rate +18.3% +1.7 percentage points, P/E 32.9 +.2
- Bloomberg US Financial Conditions Index .60 -1.0 basis point
- Bloomberg Euro-Zone Financial Conditions Index 1.47 +4.0 basis points
- Bloomberg Global Trade Policy Uncertainty Index 3.2 -.3
- US Yield Curve 54.75 basis points (2s/10s) -3.75 basis points
- US Atlanta Fed GDPNow Q2 Forecast +3.0% unch.
- US Recession Within 6 Months Probability(3M/18M Forward Yld Curve Spread) 42.1% -.9 percentage point
- Cleveland Fed Inflation Nowcast Core PCE YoY +2.95% unch.: CPI YoY +2.84% unch.
- 1-Year TIPS Spread 2.65 +3.0 basis points
- 10-Year TIPS Spread 2.36 unch.
- Highest target rate probability for Oct. 29th FOMC meeting: 73.9% (+2.9 percentage points) chance of 3.75%-4.0%. Highest target rate probability for Dec. 10th meeting: 67.9%(+2.6 percentage points) chance of 3.5%-3.75%. (current target rate is 4.25-4.5%)
Overseas Futures:
- Nikkei 225 Futures: Indicating +220 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/financial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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