Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.87 -.48%
- Euro/Yen Carry Return Index 124.15 -.9%
- Emerging Markets Currency Volatility(VXY) 11.29 +2.54%
- S&P 500 Implied Correlation 60.21 -3.18%
- ISE Sentiment Index 83.0 +23.53%
- Total Put/Call 1.01 +8.6%
- NYSE Arms 1.64 +25.98%
Credit Investor Angst:
- North American Investment Grade CDS Index 84.69 +3.83%
- America Energy Sector High-Yield CDS Index 764.0 +1.64%
- European Financial Sector CDS Index 114.62 +6.08%
- Western Europe Sovereign Debt CDS Index 29.96 +5.12%
- Asia Pacific Sovereign Debt CDS Index 55.36 +1.72%
- Emerging Market CDS Index 310.04 +3.45%
- iBoxx Offshore RMB China Corporate High Yield Index 129.28 -.17%
- 2-Year Swap Spread 15.25 +1.0 basis point
- TED Spread 38.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -37.0 -4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.20 -.57%
- 3-Month T-Bill Yield .27% +2.0 basis points
- Yield Curve 89.0 -1.0 basis point
- China Import Iron Ore Spot $50.57/Metric Tonne -4.42%
- Citi US Economic Surprise Index -22.30 +.6 point
- Citi Eurozone Economic Surprise Index -4.20 +.5 point
- Citi Emerging Markets Economic Surprise Index -1.7 -.6 point
- 10-Year TIPS Spread 1.48% -3.0 basis points
- 17.6% chance of Fed rate hike at July 27 meeting, 32.2% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -120 open in Japan
- China A50 Futures: Indicating -326 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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