Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.9 +3.0%
- Euro/Yen Carry Return Index 132.82 -.36%
- Emerging Markets Currency Volatility(VXY) 9.1 unch.
- S&P 500 Implied Correlation 35.1 +1.7%
- ISE Sentiment Index 139.0 +46.3%
- Total Put/Call .96 +12.9%
- NYSE Arms 2.09 +65.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.16 +1.75%
- America Energy Sector High-Yield CDS Index 368.0 +3.38%
- European Financial Sector CDS Index 76.10 +7.24%
- Italian/German 10Y Yld Spread 205.5 +12.75 basis points
- Asia Pacific Sovereign Debt CDS Index 12.20 -.93%
- Emerging Market CDS Index 161.76 +1.81%
- iBoxx Offshore RMB China Corporate High Yield Index 149.79 +.20%
- 2-Year Swap Spread 22.50 -.75 basis point
- TED Spread 43.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -15.75 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.04 -.29%
- 3-Month T-Bill Yield 1.89% unch.
- Yield Curve 45.25 -2.0 basis points
- China Iron Ore Spot 64.03 USD/Metric Tonne +.16%
- Citi US Economic Surprise Index 12.0 +4.0 points
- Citi Eurozone Economic Surprise Index -96.60 +1.6 points
- Citi Emerging Markets Economic Surprise Index -7.0 -.5 point
- 10-Year TIPS Spread 2.11 -3.0 basis points
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -90 open in Japan
- China A50 Futures: Indicating -12 open in China
- DAX Futures: Indicating -2 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment