Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.67 +2.4%
- Euro/Yen Carry Return Index 130.88 +.44%
- Emerging Markets Currency Volatility(VXY) 7.49 -.4%
- S&P 500 Implied Correlation 41.67 +8.26%
- ISE Sentiment Index 122.0 +23.23%
- Total Put/Call .79 +5.33%
- NYSE Arms 1.04 +27.12%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.84 +.03%
- America Energy Sector High-Yield CDS Index 361.0 -2.1%
- European Financial Sector CDS Index 66.70 +.93%
- Western Europe Sovereign Debt CDS Index 7.80 -10.14%
- Asia Pacific Sovereign Debt CDS Index 20.02 -2.39%
- Emerging Market CDS Index 188.94 -.86%
- iBoxx Offshore RMB China Corporate High Yield Index 138.08 +.19%
- 2-Year Swap Spread 23.25 -.25 basis point
- TED Spread 28.0 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.50 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.21 +.44%
- 3-Month T-Bill Yield .90% +2.0 basis points
- Yield Curve 103.0 -1.0 basis point
- China Import Iron Ore Spot $61.17/Metric Tonne +.61%
- Citi US Economic Surprise Index -37.60 -5.6 points
- Citi Eurozone Economic Surprise Index 65.40 -2.1 points
- Citi Emerging Markets Economic Surprise Index 30.5 +1.7 points
- 10-Year TIPS Spread 1.84 -1.0 basis point
- 90.2% chance of Fed rate hike at July 26 meeting, 93.5% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -74 open in Japan
- China A50 Futures: Indicating +4 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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