Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.1 -4.0%
- Euro/Yen Carry Return Index 129.67 +.17%
- Emerging Markets Currency Volatility(VXY) 10.84 -.82%
- S&P 500 Implied Correlation 53.05 -4.31%
- ISE Sentiment Index 91.0 +18.18%
- Total Put/Call 1.25 +32.98%
- NYSE Arms 1.43 +43.73%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.90 -1.43%
- America Energy Sector High-Yield CDS Index 948.0 -3.30%
- European Financial Sector CDS Index 97.37 +2.47%
- Western Europe Sovereign Debt CDS Index 25.87 +.79%
- Asia Pacific Sovereign Debt CDS Index 53.03 -.30%
- Emerging Market CDS Index 285.64 -1.26%
- iBoxx Offshore RMB China Corporate High Yield Index 127.93 +.19%
- 2-Year Swap Spread 13.0 -.75 basis point
- TED Spread 37.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.5 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.11 -.13%
- 3-Month T-Bill Yield .27% +2.0 basis points
- Yield Curve 100.0 -1.0 basis point
- China Import Iron Ore Spot $55.05/Metric Tonne -.94%
- Citi US Economic Surprise Index -38.50 -3.9 points
- Citi Eurozone Economic Surprise Index -9.9 -1.2 points
- Citi Emerging Markets Economic Surprise Index 3.60 -4.8 points
- 10-Year TIPS Spread 1.63% +1.0 basis point
- 17.4% chance of Fed rate hike at July 27 meeting, 34.0% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +47 open in Japan
- China A50 Futures: Indicating -73 open in China
- DAX Futures: Indicating +57 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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