Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.36 +1.20%
- Euro/Yen Carry Return Index 127.98 -.62%
- Emerging Markets Currency Volatility(VXY) 10.40 -.38%
- S&P 500 Implied Correlation 52.91 -.53%
- ISE Sentiment Index 105.0 +13.92%
- Total Put/Call 1.08 +16.1%
- NYSE Arms 1.12 +8.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.38 +1.10%
- America Energy Sector High-Yield CDS Index 891.0 -.43%
- European Financial Sector CDS Index 92.75 +3.27%
- Western Europe Sovereign Debt CDS Index 24.73 -.94%
- Asia Pacific Sovereign Debt CDS Index 53.33 +.95%
- Emerging Market CDS Index 300.17 -.40%
- iBoxx Offshore RMB China Corporate High Yield Index 128.79 -.08%
- 2-Year Swap Spread 14.75 -.25 basis point
- TED Spread 33.75 -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -30.5 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.58 +.10%
- 3-Month T-Bill Yield .30% +1.0 basis point
- Yield Curve 95.0 -1.0 basis point
- China Import Iron Ore Spot $48.40/Metric Tonne -3.49%
- Citi US Economic Surprise Index -17.10 +1.5 points
- Citi Eurozone Economic Surprise Index 3.0 -1.8 points
- Citi Emerging Markets Economic Surprise Index 3.2 +.7 point
- 10-Year TIPS Spread 1.58% unch.
- 53.2% chance of Fed rate hike at July 27 meeting, 59.8% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -125 open in Japan
- China A50 Futures: Indicating -230 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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