Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.34 -.82%
- Euro/Yen Carry Return Index 127.84 -.42%
- Emerging Markets Currency Volatility(VXY) 10.44 unch.
- S&P 500 Implied Correlation 52.62 -1.11%
- ISE Sentiment Index 77.0 +14.93%
- Total Put/Call .89 -2.2%
- NYSE Arms 1.29 -.47%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.65 -.48%
- America Energy Sector High-Yield CDS Index 887.0 -2.80%
- European Financial Sector CDS Index 88.50 -.70%
- Western Europe Sovereign Debt CDS Index 25.75 -.04%
- Asia Pacific Sovereign Debt CDS Index 52.70 -.57%
- Emerging Market CDS Index 298.69 -.44%
- iBoxx Offshore RMB China Corporate High Yield Index 128.65 +.03%
- 2-Year Swap Spread 13.75 unch.
- TED Spread 37.75 +4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -2.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.79 -.27%
- 3-Month T-Bill Yield .30% +2.0 basis points
- Yield Curve 94.0 -2.0 basis points
- China Import Iron Ore Spot $51.15/Metric Tonne +3.38%
- Citi US Economic Surprise Index -22.80 -2.4 points
- Citi Eurozone Economic Surprise Index 5.30 -2.7 points
- Citi Emerging Markets Economic Surprise Index 0.0 +.7 point
- 10-Year TIPS Spread 1.62% unch.
- 52.4% chance of Fed rate hike at July 27 meeting, 61.0% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +25 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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