Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.2 -.61%
- Euro/Yen Carry Return Index 127.54 +.12%
- Emerging Markets Currency Volatility(VXY) 8.49 -2.41%
- S&P 500 Implied Correlation 38.76 -1.3%
- ISE Sentiment Index 95.0 +26.7%
- Total Put/Call .79 unch.
- NYSE Arms 1.21 -14.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.58 -3.18%
- America Energy Sector High-Yield CDS Index 619.0 -.27%
- European Financial Sector CDS Index 76.61 -4.02%
- Italian/German 10Y Yld Spread 257.75 -3.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 72.84 -3.14%
- Emerging Market CDS Index 194.54 -1.72%
- iBoxx Offshore RMB China Corporate High Yield Index 163.49 +.02%
- 2-Year Swap Spread 6.5 -.25 basis point
- TED Spread 19.5 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.70 +.10%
- 3-Month T-Bill Yield 2.27% +1.0 basis point
- Yield Curve 24.5 +1.0 basis point
- China Iron Ore Spot 97.70 USD/Metric Tonne +.55%
- Citi US Economic Surprise Index -56.0 +.4 point
- Citi Eurozone Economic Surprise Index -24.3 +.9 point
- Citi Emerging Markets Economic Surprise Index -28.40 +3.2 points
- 10-Year TIPS Spread 1.74 -1.0 basis point
- 77.1% chance of Fed rate cut at July 31st meeting, 94.3% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -24 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating +43 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment