Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.77 -4.4%
- Euro/Yen Carry Return Index 128.38 +.27%
- Emerging Markets Currency Volatility(VXY) 10.65 -.36%
- S&P 500 Implied Correlation 53.15 -1.51%
- ISE Sentiment Index 107.0 +33.75%
- Total Put/Call .94 -6.93%
- NYSE Arms .59 -47.76%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.26 -2.98%
- America Energy Sector High-Yield CDS Index 928.0 -3.73%
- European Financial Sector CDS Index 89.50 -3.94%
- Western Europe Sovereign Debt CDS Index 25.65 -1.82%
- Asia Pacific Sovereign Debt CDS Index 52.78 -.96%
- Emerging Market CDS Index 302.0 -.91%
- iBoxx Offshore RMB China Corporate High Yield Index 128.66 +.19%
- 2-Year Swap Spread 12.75 -1.5 basis points
- TED Spread 31.0 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -27.75 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.81 +.29%
- 3-Month T-Bill Yield .32% -2.0 basis points
- Yield Curve 96.0 +1.0 basis point
- China Import Iron Ore Spot $50.41/Metric Tonne -1.85%
- Citi US Economic Surprise Index -23.30 -1.3 points
- Citi Eurozone Economic Surprise Index 7.3 +4.7 points
- Citi Emerging Markets Economic Surprise Index -2.6 -.8 point
- 10-Year TIPS Spread 1.62% +2.0 basis points
- 53.8% chance of Fed rate hike at July 27 meeting, 63.0% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +173 open in Japan
- China A50 Futures: Indicating +20 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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