Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.51 +6.68%
- Euro/Yen Carry Return Index 129.48 -.29%
- Emerging Markets Currency Volatility(VXY) 10.96 -1.08%
- S&P 500 Implied Correlation 54.86 +3.62%
- ISE Sentiment Index 81.0 +8.0%
- Total Put/Call .94 -13.76%
- NYSE Arms .87 +30.13%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.25 +1.0%
- America Energy Sector High-Yield CDS Index 966.0 -4.59%
- European Financial Sector CDS Index 95.03 -2.20%
- Western Europe Sovereign Debt CDS Index 25.69 -2.0%
- Asia Pacific Sovereign Debt CDS Index 53.12 +.49%
- Emerging Market CDS Index 289.78 +.24%
- iBoxx Offshore RMB China Corporate High Yield Index 127.68 -.07%
- 2-Year Swap Spread 13.75 +.25 basis point
- TED Spread 38.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -21.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.21 +.42%
- 3-Month T-Bill Yield .25% +1.0 basis point
- Yield Curve 101.0 -2.0 basis points
- China Import Iron Ore Spot $55.57/Metric Tonne +.56%
- Citi US Economic Surprise Index -34.60 unch.
- Citi Eurozone Economic Surprise Index -8.7 unch.
- Citi Emerging Markets Economic Surprise Index 8.40 -.2 point
- 10-Year TIPS Spread 1.62% -1.0 basis point
- 15.5% chance of Fed rate hike at July 27 meeting, 30.7% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -90 open in Japan
- China A50 Futures: Indicating -78 open in China
- DAX Futures: Indicating -35 open in Germany
Portfolio:
- Lower: On losses in my retail/tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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