Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Slightly Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.14 +2.6%
- Euro/Yen Carry Return Index 134.60 -.6%
- Emerging Markets Currency Volatility(VXY) 8.74 +.69%
- S&P 500 Implied Correlation 41.10 -1.2%
- ISE Sentiment Index 108.0 -5.3%
- Total Put/Call .81 -12.9%
- NYSE Arms .98 -10.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.54 +1.02%
- America Energy Sector High-Yield CDS Index 386.0 +.53%
- European Financial Sector CDS Index 60.96 +1.14%
- Italian/German 10Y Yld Spread 130.5 +5.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.95 +3.19%
- Emerging Market CDS Index 161.09 +3.2%
- iBoxx Offshore RMB China Corporate High Yield Index 149.42 -.17%
- 2-Year Swap Spread 25.75 -.5 basis point
- TED Spread 51.0 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.86 -.58%
- 3-Month T-Bill Yield 1.86% +3.0 basis points
- Yield Curve 45.75 -.75 basis point
- China Iron Ore Spot 66.47 USD/Metric Tonne -1.0%
- Citi US Economic Surprise Index 28.2 -2.7 points
- Citi Eurozone Economic Surprise Index -98.90 -2.3 points
- Citi Emerging Markets Economic Surprise Index 1.2 +2.0 points
- 10-Year TIPS Spread 2.16 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 -38 open in Japan
- China A50 Futures: Indicating -16 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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