Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 28.4 +2.9%
- Euro/Yen Carry Return Index 120.74 +.07%
- Emerging Markets Currency Volatility(VXY) 11.5 -1.3%
- S&P 500 Implied Correlation 66.1 +2.16%
- ISE Sentiment Index 90.0 -7.0 points
- Total Put/Call .82 -3.5%
- NYSE Arms .98 -44.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 91.16 -1.33%
- US Energy High-Yield OAS 1,254.80 -.37%
- European Financial Sector CDS Index 102.02 -1.33%
- Italian/German 10Y Yld Spread 239.50 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 116.34 -.84%
- Emerging Market CDS Index 322.37 -1.95%
- iBoxx Offshore RMB China Corporate High Yield Index 164.47 +.20%
- 2-Year Swap Spread 8.75 +.25 basis point
- TED Spread 33.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.0 -1.75 basis points
- MBS 5/10 Treasury Spread 114.0 +6.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.25 +.15%
- 3-Month T-Bill Yield .11% unch.
- Yield Curve 52.25 -1.25 basis points
- China Iron Ore Spot 88.0 USD/Metric Tonne +2.87%
- Citi US Economic Surprise Index -60.80 -6.5 points
- Citi Eurozone Economic Surprise Index -303.70 +.9 point
- Citi Emerging Markets Economic Surprise Index -2.0 -16.0 points
- 10-Year TIPS Spread 1.09 -4.0 basis points
- 99.3% chance of no change at July 29th meeting, 99.3% chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +19 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating -61 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/consumer staple sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment