Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.36 -2.35%
- Euro/Yen Carry Return Index 129.08 +1.14%
- Emerging Markets Currency Volatility(VXY) 11.22 +2.19%
- S&P 500 Implied Correlation 53.03 -2.98%
- ISE Sentiment Index 113.0 +36.14%
- Total Put/Call 1.09 -8.4%
- NYSE Arms 1.62 +69.13%
Credit Investor Angst:
- North American Investment Grade CDS Index 83.97 -1.05%
- America Energy Sector High-Yield CDS Index 998.0 +2.68%
- European Financial Sector CDS Index 98.63 -1.49%
- Western Europe Sovereign Debt CDS Index 26.01 -.65%
- Asia Pacific Sovereign Debt CDS Index 54.52 -.93%
- Emerging Market CDS Index 296.45 +1.79%
- iBoxx Offshore RMB China Corporate High Yield Index 127.60 +.43%
- 2-Year Swap Spread 13.75 -.5 basis point
- TED Spread 44.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.83 -.48%
- 3-Month T-Bill Yield .21% +2.0 basis point
- Yield Curve 104.0 -1.0 basis point
- China Import Iron Ore Spot $54.99/Metric Tonne -5.66%
- Citi US Economic Surprise Index -37.10 -.4 point
- Citi Eurozone Economic Surprise Index -5.3 +5.7 points
- Citi Emerging Markets Economic Surprise Index 8.50 -1.3 points
- 10-Year TIPS Spread 1.6% -2.0 basis points
- 15.5% chance of Fed rate hike at July 27 meeting, 27.3% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +118 open in Japan
- China A50 Futures: Indicating -127 open in China
- DAX Futures: Indicating +14 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/biotech/retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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