Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.75 -1.87%
- Euro/Yen Carry Return Index 127.93 -.39%
- Emerging Markets Currency Volatility(VXY) 10.89 unch.
- S&P 500 Implied Correlation 56.28 -.35%
- ISE Sentiment Index 79.0 +23.44%
- Total Put/Call 1.04 -3.7%
- NYSE Arms 1.46 -10.54%
Credit Investor Angst:
- North American Investment Grade CDS Index 84.51 +1.16%
- America Energy Sector High-Yield CDS Index 915.0 -18.65%
- European Financial Sector CDS Index 98.75 -.31%
- Western Europe Sovereign Debt CDS Index 26.20 +1.93%
- Asia Pacific Sovereign Debt CDS Index 54.27 -2.17%
- Emerging Market CDS Index 295.50 +.43%
- iBoxx Offshore RMB China Corporate High Yield Index 127.20 +.04%
- 2-Year Swap Spread 14.0 unch.
- TED Spread 44.5 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.75 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.20 +.07%
- 3-Month T-Bill Yield .19% unch.
- Yield Curve 104.0 -1.0 basis point
- China Import Iron Ore Spot $60.25/Metric Tonne +.27%
- Citi US Economic Surprise Index -30.70 -2.3 points
- Citi Eurozone Economic Surprise Index -11.70 +.7 point
- Citi Emerging Markets Economic Surprise Index 11.70 +.4 point
- 10-Year TIPS Spread 1.63% -1.0 basis point
- 22.6% chance of Fed rate hike at July 27 meeting, 33.4% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -52 open in Japan
- China A50 Futures: Indicating -52 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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