Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.87 +13.34%
- Euro/Yen Carry Return Index 128.53 +.65%
- Emerging Markets Currency Volatility(VXY) 10.36 -1.33%
- S&P 500 Implied Correlation 54.95 +5.23%
- ISE Sentiment Index 88.0 -3.30%
- Total Put/Call .95 +5.56%
- NYSE Arms 1.04 +2.87%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.58 +1.35%
- America Energy Sector High-Yield CDS Index 891.0 -.08%
- European Financial Sector CDS Index 89.82 +.04%
- Western Europe Sovereign Debt CDS Index 24.97 -2.33%
- Asia Pacific Sovereign Debt CDS Index 52.72 +.07%
- Emerging Market CDS Index 303.76 +1.76%
- iBoxx Offshore RMB China Corporate High Yield Index 128.88 +.09%
- 2-Year Swap Spread 15.0 +1.25 basis points
- TED Spread 37.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.48 -.25%
- 3-Month T-Bill Yield .29% -1.0 basis point
- Yield Curve 96.0 +2.0 basis points
- China Import Iron Ore Spot $51.15/Metric Tonne -.24%
- Citi US Economic Surprise Index -18.60 +4.2 points
- Citi Eurozone Economic Surprise Index 4.80 -.5 point
- Citi Emerging Markets Economic Surprise Index 2.5 +2.5 points
- 10-Year TIPS Spread 1.58% -4.0 basis points
- 51.4% chance of Fed rate hike at July 27 meeting, 58.2% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +179 open in Japan
- China A50 Futures: Indicating -152 open in China
- DAX Futures: Indicating -21 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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