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) 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 72.0 -31.43%
- Total Put/Call .91 -11.65%
- NYSE Arms .74 -32.73%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.51 +.23%
- America Energy Sector High-Yield CDS Index 894.0 +.47%
- European Financial Sector CDS Index 94.44 +1.81%
- Western Europe Sovereign Debt CDS Index 25.90 +4.71%
- Asia Pacific Sovereign Debt CDS Index 53.25 +.41%
- Emerging Market CDS Index 298.43 -.37%
- iBoxx Offshore RMB China Corporate High Yield Index 128.88 +.08%
- 2-Year Swap Spread 15.25 +.5 basis point
- TED Spread 39.5 +5.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -34.0 -3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.59 +.08%
- 3-Month T-Bill Yield .27% -3.0 basis points
- Yield Curve 92.0 -3.0 basis points
- China Import Iron Ore Spot $48.18/Metric Tonne -.45%
- Citi US Economic Surprise Index -16.30 +.7 point
- Citi Eurozone Economic Surprise Index 2.50 -1.8 points
- Citi Emerging Markets Economic Surprise Index 7.2 +4.0 points
- 10-Year TIPS Spread 1.58% unch.
- 54.8% chance of Fed rate hike at July 27 meeting, 61.1% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +14 open in Japan
- China A50 Futures: Indicating -181 open in China
- DAX Futures: Indicating +33 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
No comments:
Post a Comment