Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.83 +16.44%
- Euro/Yen Carry Return Index 125.29 -.34%
- Emerging Markets Currency Volatility(VXY) 10.95 +3.69%
- S&P 500 Implied Correlation 60.02 +5.28%
- ISE Sentiment Index 95.0 +15.85%
- Total Put/Call 1.08 +13.68%
- NYSE Arms 1.0 -27.12%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.07 +4.7%
- America Energy Sector High-Yield CDS Index 752.0 +2.4%
- European Financial Sector CDS Index 108.07 +6.8%
- Western Europe Sovereign Debt CDS Index 28.5 +4.3%
- Asia Pacific Sovereign Debt CDS Index 54.15 +2.17%
- Emerging Market CDS Index 296.84 +2.73%
- iBoxx Offshore RMB China Corporate High Yield Index 129.49 +.09%
- 2-Year Swap Spread 14.25 +.25 basis point
- TED Spread 39.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.25 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.61 -.39%
- 3-Month T-Bill Yield .25% unch.
- Yield Curve 90.0 unch.
- China Import Iron Ore Spot $52.91/Metric Tonne +.67%
- Citi US Economic Surprise Index -22.90 -.1 point
- Citi Eurozone Economic Surprise Index -4.70 -2.2 points
- Citi Emerging Markets Economic Surprise Index -1.1 -6.7 points
- 10-Year TIPS Spread 1.51% -5.0 basis points
- 13.7% chance of Fed rate hike at July 27 meeting, 27.2% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -20 open in Japan
- China A50 Futures: Indicating -343 open in China
- DAX Futures: Indicating -38 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
No comments:
Post a Comment