Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.68 -.72%
- Euro/Yen Carry Return Index 129.77 -.22%
- Emerging Markets Currency Volatility(VXY) 8.03 -1.95%
- S&P 500 Implied Correlation 38.81 +5.92%
- ISE Sentiment Index 64.0 -33.33%
- Total Put/Call .71 -11.25%
- NYSE Arms .79 -51.91%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.95 -.15%
- America Energy Sector High-Yield CDS Index 382.0 +2.18%
- European Financial Sector CDS Index 71.0 +1.23%
- Western Europe Sovereign Debt CDS Index 8.29 +2.16%
- Asia Pacific Sovereign Debt CDS Index 18.01 -.39%
- Emerging Market CDS Index 190.16 -.84%
- iBoxx Offshore RMB China Corporate High Yield Index 138.71 +.03%
- 2-Year Swap Spread 21.5 -1.0 basis point
- TED Spread 24.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -31.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.44 +.12%
- 3-Month T-Bill Yield .97% unch.
- Yield Curve 88.0 unch.
- China Import Iron Ore Spot $55.90/Metric Tonne -3.27%
- Citi US Economic Surprise Index -44.70 -3.8 points
- Citi Eurozone Economic Surprise Index 43.50 +.1 point
- Citi Emerging Markets Economic Surprise Index 11.50 +.8 point
- 10-Year TIPS Spread 1.82 unch.
- 94.1% chance of Fed rate hike at July 26 meeting, 95.8% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -5 open in Japan
- China A50 Futures: Indicating +2 open in China
- DAX Futures: Indicating n/a open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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