Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.70 -1.4%
- Euro/Yen Carry Return Index 128.33 -.09%
- Emerging Markets Currency Volatility(VXY) 10.44 -1.88%
- S&P 500 Implied Correlation 53.68 +.13%
- ISE Sentiment Index 62.0 -32.61%
- Total Put/Call .97 -1.02%
- NYSE Arms 1.24 +107.50%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.88 -.19%
- America Energy Sector High-Yield CDS Index 906.0-2.53%
- European Financial Sector CDS Index 89.12 -.42%
- Western Europe Sovereign Debt CDS Index 25.76 +.41%
- Asia Pacific Sovereign Debt CDS Index 53.08 +.55%
- Emerging Market CDS Index 299.94 -.18%
- iBoxx Offshore RMB China Corporate High Yield Index 128.61 -.04%
- 2-Year Swap Spread 13.75 +1.0 basis point
- TED Spread 33.50 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -27.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.98 +.22%
- 3-Month T-Bill Yield .28% -4.0 basis points
- Yield Curve 96.0 unch.
- China Import Iron Ore Spot $49.48/Metric Tonne -1.84%
- Citi US Economic Surprise Index -20.40 +2.9 points
- Citi Eurozone Economic Surprise Index 8.0 +.7 point
- Citi Emerging Markets Economic Surprise Index -.7 +1.9 points
- 10-Year TIPS Spread 1.62% unch.
- 51.0% chance of Fed rate hike at July 27 meeting, 58.9% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +123 open in Japan
- China A50 Futures: Indicating -9 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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