Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.80 -5.22%
- Euro/Yen Carry Return Index 129.88 +.80%
- Emerging Markets Currency Volatility(VXY) 11.06 +.36%
- S&P 500 Implied Correlation 53.30 -1.26%
- ISE Sentiment Index 69.0 -32.35%
- Total Put/Call 1.12 -1.75%
- NYSE Arms .73 -46.98%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.49 -4.30%
- America Energy Sector High-Yield CDS Index 999.0 -1.24%
- European Financial Sector CDS Index 98.63 -1.49%
- Western Europe Sovereign Debt CDS Index 26.21 +.77%
- Asia Pacific Sovereign Debt CDS Index 52.59 -3.43%
- Emerging Market CDS Index 289.22 -2.67%
- iBoxx Offshore RMB China Corporate High Yield Index 127.76 +.14%
- 2-Year Swap Spread 13.5 -.25 basis point
- TED Spread 40.0 -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.92 +.18%
- 3-Month T-Bill Yield .24% +3.0 basis points
- Yield Curve 103.0 -1.0 basis point
- China Import Iron Ore Spot $55.26/Metric Tonne +.49%
- Citi US Economic Surprise Index -34.60 +2.5 points
- Citi Eurozone Economic Surprise Index -8.7 -3.4 points
- Citi Emerging Markets Economic Surprise Index 8.60 +.1 point
- 10-Year TIPS Spread 1.63% +3.0 basis points
- 17.3% chance of Fed rate hike at July 27 meeting, 30.5% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +215 open in Japan
- China A50 Futures: Indicating +5 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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