Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.69 -7.08%
- Euro/Yen Carry Return Index 128.15 +.08%
- Emerging Markets Currency Volatility(VXY) 10.67 -.74%
- S&P 500 Implied Correlation 55.33 -4.36%
- ISE Sentiment Index 73.0 -3.0%
- Total Put/Call 1.0 +1.01%
- NYSE Arms 1.27 -12.79%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.20 -2.77%
- America Energy Sector High-Yield CDS Index 960.0 -3.80%
- European Financial Sector CDS Index 93.25 -4.27%
- Western Europe Sovereign Debt CDS Index 26.13 +1.28%
- Asia Pacific Sovereign Debt CDS Index 53.66 -.19%
- Emerging Market CDS Index 307.82 -1.33%
- iBoxx Offshore RMB China Corporate High Yield Index 128.42 +.16%
- 2-Year Swap Spread 14.25 +.5 basis point
- TED Spread 32.50 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.5 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.55 -.10%
- 3-Month T-Bill Yield .34% +2.0 basis points
- Yield Curve 95.0 unch.
- China Import Iron Ore Spot $51.36/Metric Tonne +.27%
- Citi US Economic Surprise Index -22.0 +10.8 points
- Citi Eurozone Economic Surprise Index 2.6 -2.2 points
- Citi Emerging Markets Economic Surprise Index -1.8 unch.
- 10-Year TIPS Spread 1.60% +1.0 basis point
- 53.9% chance of Fed rate hike at July 27 meeting, 64.1% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +260 open in Japan
- China A50 Futures: Indicating +68 open in China
- DAX Futures: Indicating +4 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/retail/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
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