Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 25.2 +2.6%
- Euro/Yen Carry Return Index 127.0 -1.0%
- Emerging Markets Currency Volatility(VXY) 9.47 -.11%
- S&P 500 Implied Correlation 57.6 -6.1%
- ISE Sentiment Index 126.0 -19.0 points
- Total Put/Call .60 -7.7%
- NYSE Arms .45 -22.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.54 +1.3%
- US Energy High-Yield OAS 876.26 -1.31%
- European Financial Sector CDS Index 69.57 +3.55%
- Italian/German 10Y Yld Spread 172.25 +3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 81.75 -6.3%
- Emerging Market CDS Index 225.91 +.43%
- iBoxx Offshore RMB China Corporate High Yield Index 169.19 +.04%
- 2-Year Swap Spread 7.75 unch.
- TED Spread 16.5 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 unch.
- MBS 5/10 Treasury Spread 108.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 72.25 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.90 +.16%
- 3-Month T-Bill Yield .16% +1.0 basis point
- Yield Curve 65.0 +2.25 basis points
- China Iron Ore Spot 101.60 USD/Metric Tonne +.54%
- Citi US Economic Surprise Index 69.70 +3.4 points
- Citi Eurozone Economic Surprise Index -214.60 +.6 point
- Citi Emerging Markets Economic Surprise Index 41.7 +.3 point
- 10-Year TIPS Spread 1.27 +1.0 basis point
- 92.1% chance of no change at July 29th meeting, 92.1% chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -23 open in Japan
- China A50 Futures: Indicating -97 open in China
- DAX Futures: Indicating +35 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/industrial/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment