Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.1 +2.34%
- Euro/Yen Carry Return Index 128.24 -2.84%
- Emerging Markets Currency Volatility(VXY) 10.41 -10.33%
- S&P 500 Implied Correlation 55.15 +1.53%
- ISE Sentiment Index 129.0 +12.2%
- Total Put/Call .92 -8.91%
- NYSE Arms .87 +22.41%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.83 +2.8%
- America Energy Sector High-Yield CDS Index 1,020.0 -7.4%
- European Financial Sector CDS Index 85.62 -1.9%
- Western Europe Sovereign Debt CDS Index 26.19 +1.0%
- Asia Pacific Sovereign Debt CDS Index 56.0 -1.4%
- Emerging Market CDS Index 275.32 +.72%
- iBoxx Offshore RMB China Corporate High Yield Index 127.30 +.05%
- 2-Year Swap Spread 13.25 +1.5 basis points
- TED Spread 39.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.50 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.35 +.56%
- 3-Month T-Bill Yield .22% -2.0 basis points
- Yield Curve 105.0 +2.0 basis points
- China Import Iron Ore Spot $62.90/Metric Tonne +2.96%
- Citi US Economic Surprise Index -29.80 -2.0 points
- Citi Eurozone Economic Surprise Index -9.30 +4.5 points
- Citi Emerging Markets Economic Surprise Index 16.80 +.3 point
- 10-Year TIPS Spread 1.73% +5.0 basis points
- 26.1% chance of Fed rate hike at July 27 meeting, 42.3% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -376 open in Japan
- China A50 Futures: Indicating -10 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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