Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.74 -1.74%
- Euro/Yen Carry Return Index 130.44 -.06%
- Emerging Markets Currency Volatility(VXY) 8.28 -1.08%
- S&P 500 Implied Correlation 39.65 -1.34%
- ISE Sentiment Index 119.0 +36.78%
- Total Put/Call .89 +4.71%
- NYSE Arms 1.03 -23.90%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.22 -1.2%
- America Energy Sector High-Yield CDS Index 355.0 -1.4%
- European Financial Sector CDS Index 67.05 -2.07%
- Western Europe Sovereign Debt CDS Index 8.47 -7.48%
- Asia Pacific Sovereign Debt CDS Index 19.90 -.77%
- Emerging Market CDS Index 193.63 -1.79%
- iBoxx Offshore RMB China Corporate High Yield Index 138.47 +.04%
- 2-Year Swap Spread 23.75-.5 basis point
- TED Spread 28.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -33.25 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.85 -.12%
- 3-Month T-Bill Yield .90% unch.
- Yield Curve 98.0 +1.0 basis point
- China Import Iron Ore Spot $62.0/Metric Tonne -1.88%
- Citi US Economic Surprise Index -38.90 -8.2 points
- Citi Eurozone Economic Surprise Index 60.40 +10.3 points
- Citi Emerging Markets Economic Surprise Index 23.0 -1.6 points
- 10-Year TIPS Spread 1.86 +2.0 basis points
- 93.4% chance of Fed rate hike at July 26 meeting, 95.7% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +157 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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