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) 10.80 +1.98%
- Euro/Yen Carry Return Index 128.11 +.23%
- Emerging Markets Currency Volatility(VXY) 8.47 -1.17%
- S&P 500 Implied Correlation 43.45 +8.0%
- ISE Sentiment Index 71.0 -25.26%
- Total Put/Call 1.05 +40.0%
- NYSE Arms .78 -23.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.74 -.62%
- America Energy Sector High-Yield CDS Index 373.0 +.1%
- European Financial Sector CDS Index 71.29 -1.17%
- Western Europe Sovereign Debt CDS Index 8.26 -14.5%
- Asia Pacific Sovereign Debt CDS Index 21.74 -1.18%
- Emerging Market CDS Index 191.78 +.74%
- iBoxx Offshore RMB China Corporate High Yield Index 137.10 +.02%
- 2-Year Swap Spread 29.0 -1.5 basis points
- TED Spread 31.5 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.42 -.07%
- 3-Month T-Bill Yield .86% +2.0 basis points
- Yield Curve 102.0 -1.0 basis point
- China Import Iron Ore Spot $68.68/Metric Tonne -.06%
- Citi US Economic Surprise Index -19.50 +2.0 points
- Citi Eurozone Economic Surprise Index 65.80 +.3 point
- Citi Emerging Markets Economic Surprise Index 33.0 -1.7 points
- 10-Year TIPS Spread 1.88 -1.0 basis point
- 88.4% chance of Fed rate hike at July 26 meeting, 93.1% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +170 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Lower: On gains in my retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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