Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.61 +3.92%
- Euro/Yen Carry Return Index 129.26 -.29%
- Emerging Markets Currency Volatility(VXY) 8.25 -1.55%
- S&P 500 Implied Correlation 41.70 +4.62%
- ISE Sentiment Index 89.0 -8.25%
- Total Put/Call .91 -2.15%
- NYSE Arms 1.08 +77.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.10 +.29%
- America Energy Sector High-Yield CDS Index 372.0 -.58%
- European Financial Sector CDS Index 67.33 +1.68%
- Western Europe Sovereign Debt CDS Index 7.45 -3.99%
- Asia Pacific Sovereign Debt CDS Index 20.47 -.05%
- Emerging Market CDS Index 195.12 +.02%
- iBoxx Offshore RMB China Corporate High Yield Index 137.72 +.15%
- 2-Year Swap Spread 26.0 +1.0 basis point
- TED Spread 30.25 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -31.75 -1.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.26 +.32%
- 3-Month T-Bill Yield .88% -1.0 basis point
- Yield Curve 106.0 unch.
- China Import Iron Ore Spot $60.38/Metric Tonne -.61%
- Citi US Economic Surprise Index -19.20 +.8 point
- Citi Eurozone Economic Surprise Index 69.60 +.6 point
- Citi Emerging Markets Economic Surprise Index 29.6 -1.7 points
- 10-Year TIPS Spread 1.91 +4.0 basis points
- 93.4% chance of Fed rate hike at July 26 meeting, 96.5% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -51 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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