Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.25 +2.08%
- Euro/Yen Carry Return Index 131.70 +.23%
- Emerging Markets Currency Volatility(VXY) 10.61 -.09%
- S&P 500 Implied Correlation 55.73 +4.64%
- ISE Sentiment Index 125.0 +12.61%
- Total Put/Call .86 +7.5%
- NYSE Arms .67 -31.53%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.32 -.25%
- America Energy Sector High-Yield CDS Index 1,062.0 -1.98%
- European Financial Sector CDS Index 87.27 -.12%
- Western Europe Sovereign Debt CDS Index 26.18 -1.11%
- Asia Pacific Sovereign Debt CDS Index 57.72 +.14%
- Emerging Market CDS Index 276.88 -1.73%
- iBoxx Offshore RMB China Corporate High Yield Index 127.23 +.06%
- 2-Year Swap Spread 11.75 +1.0 basis point
- TED Spread 39.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.0 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.93 +.11%
- 3-Month T-Bill Yield .24% unch.
- Yield Curve 103.0 -4.0 basis points
- China Import Iron Ore Spot $61.09/Metric Tonne -2.69%
- Citi US Economic Surprise Index -27.80 +.2 point
- Citi Eurozone Economic Surprise Index -13.80 +.5 point
- Citi Emerging Markets Economic Surprise Index 16.50 +.1 point
- 10-Year TIPS Spread 1.68% unch.
- 33.2% chance of Fed rate hike at July 27 meeting, 49.9% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +175 open in Japan
- China A50 Futures: Indicating +22 open in China
- DAX Futures: Indicating +49 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 50% Net Long
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