Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.81 -2.75%
- Euro/Yen Carry Return Index 126.85 -.96%
- Emerging Markets Currency Volatility(VXY) 10.25 -1.44%
- S&P 500 Implied Correlation 52.42 -.83%
- ISE Sentiment Index 70.0 -21.35%
- Total Put/Call .85 -6.59%
- NYSE Arms 1.01 -13.27%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.51 +.92%
- America Energy Sector High-Yield CDS Index 880.0 -2.43%
- European Financial Sector CDS Index 95.64 +1.28%
- Western Europe Sovereign Debt CDS Index 26.08 +.68%
- Asia Pacific Sovereign Debt CDS Index 52.96 +.21%
- Emerging Market CDS Index 292.14 -1.80%
- iBoxx Offshore RMB China Corporate High Yield Index 128.72 -.12%
- 2-Year Swap Spread 15.0 -.25 basis point
- TED Spread 40.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -27.75 +6.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.51 +1.32%
- 3-Month T-Bill Yield .28% +1.0 basis point
- Yield Curve 93.0 +1.0 basis point
- China Import Iron Ore Spot $50.08/Metric Tonne +3.94%
- Citi US Economic Surprise Index -25.40 -9.1 points
- Citi Eurozone Economic Surprise Index 1.80 -.7 point
- Citi Emerging Markets Economic Surprise Index 7.4 +.2 point
- 10-Year TIPS Spread 1.56% -2.0 basis points
- 30.9% chance of Fed rate hike at July 27 meeting, 43.3% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -302 open in Japan
- China A50 Futures: Indicating -230 open in China
- DAX Futures: Indicating +4 open in Germany
Portfolio:
- Lower: On losses in my biotech/retail/tech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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