Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 19.44 -5.17%
- Euro/Yen Carry Return Index 124.169 +.37%
- Emerging Markets Currency Volatility(VXY) 10.97 -1.53%
- S&P 500 Implied Correlation 57.62 -3.18%
- ISE Sentiment Index 97.0 unch,
- Total Put/Call 1.17 +13.59%
- NYSE Arms .69 -49.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 84.39 +.26%
- America Energy Sector High-Yield CDS Index 774.0 +1.20%
- European Financial Sector CDS Index 115.25 +.55%
- Western Europe Sovereign Debt CDS Index 28.95 -3.39%
- Asia Pacific Sovereign Debt CDS Index 54.19 -2.19%
- Emerging Market CDS Index 300.26 -2.08%
- iBoxx Offshore RMB China Corporate High Yield Index 129.33 +.04%
- 2-Year Swap Spread 15.5 +.25 basis point
- TED Spread 37.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -35.50 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.57 +.51%
- 3-Month T-Bill Yield .25% -2.0 basis points
- Yield Curve 91.0 +2.0 basis points
- China Import Iron Ore Spot $50.65/Metric Tonne +.16%
- Citi US Economic Surprise Index -22.90 -.6 point
- Citi Eurozone Economic Surprise Index -4.60 -.4 point
- Citi Emerging Markets Economic Surprise Index -2.4 -.7 point
- 10-Year TIPS Spread 1.50% +2.0 basis points
- 7.7% chance of Fed rate hike at July 27 meeting, 23.6% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +120 open in Japan
- China A50 Futures: Indicating -333 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Lower: On losses in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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