Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.59 -6.41%
- Euro/Yen Carry Return Index 128.70 -.29%
- Emerging Markets Currency Volatility(VXY) 7.83 unch.
- S&P 500 Implied Correlation 44.61 -6.68%
- ISE Sentiment Index 105.0 +19.3%
- Total Put/Call 1.08 -.92%
- NYSE Arms 1.53 +27.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.37 +1.69%
- America Energy Sector High-Yield CDS Index 369.0 +2.1%
- European Financial Sector CDS Index 71.12 +1.99%
- Western Europe Sovereign Debt CDS Index 8.51 +8.48%
- Asia Pacific Sovereign Debt CDS Index 21.52 +3.79%
- Emerging Market CDS Index 205.93 +4.55%
- iBoxx Offshore RMB China Corporate High Yield Index 138.30 +.14%
- 2-Year Swap Spread 22.75 +.25 basis point
- TED Spread 29.25 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -33.0 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.910 -1.14%
- 3-Month T-Bill Yield .89% -1.0 basis point
- Yield Curve 96.0 -2.0 basis points
- China Import Iron Ore Spot $61.60/Metric Tonne -.96%
- Citi US Economic Surprise Index -33.60 +3.9 points
- Citi Eurozone Economic Surprise Index 61.90 -1.9 points
- Citi Emerging Markets Economic Surprise Index 27.7 -.7 point
- 10-Year TIPS Spread 1.78 -2.0 basis points
- 81.0% chance of Fed rate hike at July 26 meeting, 86.0% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -43 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating -27 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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