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) 16.17 +1.25%
- Euro/Yen Carry Return Index 136.32 -.28%
- Emerging Markets Currency Volatility(VXY) 8.78 +.46%
- S&P 500 Implied Correlation 42.62 -1.96%
- ISE Sentiment Index 72.0 -19.10%
- Total Put/Call 1.06 +13.98%
- NYSE Arms 1.21 -19.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.36 +1.79%
- America Energy Sector High-Yield CDS Index 403.0 +1.5%
- European Financial Sector CDS Index 60.71 +4.17%
- Italian/German 10Y Yld Spread 120.75 -.25 basis point
- Asia Pacific Sovereign Debt CDS Index 12.17 +1.54%
- Emerging Market CDS Index 156.60 +4.91%
- iBoxx Offshore RMB China Corporate High Yield Index 149.33 +.01%
- 2-Year Swap Spread 26.75 +.25 basis point
- TED Spread 53.75 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.61 +.24%
- 3-Month T-Bill Yield 1.83% unch.
- Yield Curve 46.5 +.25 basis point
- China Iron Ore Spot 66.50 USD/Metric Tonne -.85%
- Citi US Economic Surprise Index 34.7 -1.2 point
- Citi Eurozone Economic Surprise Index -87.70 -9.7 points
- Citi Emerging Markets Economic Surprise Index -1.0 -2.4 points
- 10-Year TIPS Spread 2.17 unch.
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -147 open in Japan
- China A50 Futures: Indicating -17 open in China
- DAX Futures: Indicating +48 open in Germany
Portfolio:
- Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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