Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperfroming
Equity Investor Angst:
- Volatility(VIX) 15.92 +2.18%
- Euro/Yen Carry Return Index 129.07 +.03%
- Emerging Markets Currency Volatility(VXY) 10.83 +.56%
- S&P 500 Implied Correlation 56.02 +.99%
- ISE Sentiment Index 94.0 +67.86%
- Total Put/Call 1.02 -12.07%
- NYSE Arms 1.02 +3.69%
Credit Investor Angst:
- North American Investment Grade CDS Index 83.40 +1.14%
- America Energy Sector High-Yield CDS Index 966.0 +3.53%
- European Financial Sector CDS Index 99.37 +.38%
- Western Europe Sovereign Debt CDS Index 25.90 +1.27%
- Asia Pacific Sovereign Debt CDS Index 53.51 +.40%
- Emerging Market CDS Index 301.45 +2.19%
- iBoxx Offshore RMB China Corporate High Yield Index 128.03 +.04%
- 2-Year Swap Spread 12.0 -1.0 basis point
- TED Spread 33.5 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.5 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.95 -.96%
- 3-Month T-Bill Yield .30% +3.0 basis points
- Yield Curve 98.0 +4.0 basis points
- China Import Iron Ore Spot $56.78/Metric Tonne +1.79%
- Citi US Economic Surprise Index -31.70 -1.1 points
- Citi Eurozone Economic Surprise Index -3.0 +1.2 points
- Citi Emerging Markets Economic Surprise Index -2.6 +.3 point
- 10-Year TIPS Spread 1.65% unch.
- 48.2% chance of Fed rate hike at July 27 meeting, 61.7% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +86 open in Japan
- China A50 Futures: Indicating -62 open in China
- DAX Futures: Indicating -21 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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