Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.4 +1.51%
- Euro/Yen Carry Return Index 128.02 -.87%
- Emerging Markets Currency Volatility(VXY) 10.68 -.93%
- S&P 500 Implied Correlation 56.69 -.82%
- ISE Sentiment Index 96.0 -6.0%
- Total Put/Call .97 -4.9%
- NYSE Arms 1.09 -21.49%
Credit Investor Angst:
- North American Investment Grade CDS Index 83.36 -.62%
- America Energy Sector High-Yield CDS Index 971.0 -3.33%
- European Financial Sector CDS Index 97.40 +.55%
- Western Europe Sovereign Debt CDS Index 25.80 -1.19%
- Asia Pacific Sovereign Debt CDS Index 53.95 +.64%
- Emerging Market CDS Index 310.50 +2.21%
- iBoxx Offshore RMB China Corporate High Yield Index 128.22 +.14%
- 2-Year Swap Spread 13.75 +.25 basis point
- TED Spread 35.50 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.65 -.26%
- 3-Month T-Bill Yield .32% +1.0 basis point
- Yield Curve 95.0 -1.0 basis point.
- China Import Iron Ore Spot $51.22/Metric Tonne -6.69%
- Citi US Economic Surprise Index -32.80 -2.0 points
- Citi Eurozone Economic Surprise Index 4.8 +4.0 points
- Citi Emerging Markets Economic Surprise Index -1.8 unch.
- 10-Year TIPS Spread 1.59% -1.0 basis point
- 53.8% chance of Fed rate hike at July 27 meeting, 63.0% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -101 open in Japan
- China A50 Futures: Indicating -14 open in China
- DAX Futures: Indicating +4 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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