Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.74 +1.27%
- Euro/Yen Carry Return Index 133.45 -.46%
- Emerging Markets Currency Volatility(VXY) 9.1 -.65%
- S&P 500 Implied Correlation 34.86 -.31%
- ISE Sentiment Index 99.0 +6.45%
- Total Put/Call .84 -15.15%
- NYSE Arms 1.21 -7.19%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.19 +.60%
- America Energy Sector High-Yield CDS Index 358.0 +.86%
- European Financial Sector CDS Index 70.97 +2.17%
- Italian/German 10Y Yld Spread 192.75 +3.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.31 -1.05%
- Emerging Market CDS Index 158.69 +1.32%
- iBoxx Offshore RMB China Corporate High Yield Index 149.49 -.04%
- 2-Year Swap Spread 23.25 +.75 basis point
- TED Spread 43.5 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.12 -.29%
- 3-Month T-Bill Yield 1.89% -2.0 basis points
- Yield Curve 47.25 -.5 basis point
- China Iron Ore Spot 65.15 USD/Metric Tonne +1.18%
- Citi US Economic Surprise Index 8.0 -1.8 points
- Citi Eurozone Economic Surprise Index -98.20 +.6 point
- Citi Emerging Markets Economic Surprise Index -6.50 -.5 point
- 10-Year TIPS Spread 2.14 -1.0 basis point
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -152 open in Japan
- China A50 Futures: Indicating +7 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Higher: On gains in my medical/retail/industrial/tech sector longs and my emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment