Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.5 +35.5%
- Euro/Yen Carry Return Index 129.27 -1.19%
- Emerging Markets Currency Volatility(VXY) 7.69 +2.81%
- S&P 500 Implied Correlation 46.01 +16.9%
- ISE Sentiment Index 108.0 +1.0%
- Total Put/Call 1.04 +33.3%
- NYSE Arms 1.25 +10.72%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.73 +5.0%
- America Energy Sector High-Yield CDS Index 361.0 -.39%
- European Financial Sector CDS Index 70.2 +5.26%
- Western Europe Sovereign Debt CDS Index 7.85 +.58%
- Asia Pacific Sovereign Debt CDS Index 20732 +3.55%
- Emerging Market CDS Index 195.39 +2.99%
- iBoxx Offshore RMB China Corporate High Yield Index 138.11 +.02%
- 2-Year Swap Spread 22.5 -.75 basis point
- TED Spread 28.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -31.50 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.96 -.31%
- 3-Month T-Bill Yield .89% -1.0 basis point
- Yield Curve 98.0 -5.0 basis points
- China Import Iron Ore Spot $62.20/Metric Tonne +1.68%
- Citi US Economic Surprise Index -37.50 -.1 point
- Citi Eurozone Economic Surprise Index 63.80 -1.6 points
- Citi Emerging Markets Economic Surprise Index 28.4 -2.1 points
- 10-Year TIPS Spread 1.80 -4.0 basis points
- 80.4% chance of Fed rate hike at July 26 meeting, 85.0% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -315 open in Japan
- China A50 Futures: Indicating -16 open in China
- DAX Futures: Indicating -58 open in Germany
Portfolio:
- Lower: On losses in my biotech/tech/retail/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment