Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.84 +.72%
- Euro/Yen Carry Return Index 129.77 +.51%
- Emerging Markets Currency Volatility(VXY) 8.39 +1.08%
- S&P 500 Implied Correlation 40.43 +.77%
- ISE Sentiment Index 99.0 +22.22%
- Total Put/Call .84 unch.
- NYSE Arms .90 -7.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.34 +.3%
- America Energy Sector High-Yield CDS Index 382.0 +.28%
- European Financial Sector CDS Index 65.60 -1.9%
- Western Europe Sovereign Debt CDS Index 7.72 -1.34%
- Asia Pacific Sovereign Debt CDS Index 20.58 -.99%
- Emerging Market CDS Index 197.88 -.06%
- iBoxx Offshore RMB China Corporate High Yield Index 137.52 +.22%
- 2-Year Swap Spread 27.0 -1.5 basis points
- TED Spread 29.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.66 -.32%
- 3-Month T-Bill Yield .89% unch.
- Yield Curve 105.0 unch.
- China Import Iron Ore Spot $60.75/Metric Tonne +1.0%
- Citi US Economic Surprise Index -19.50 +.2 point
- Citi Eurozone Economic Surprise Index 69.80 +.7 point
- Citi Emerging Markets Economic Surprise Index 31.7 -.1 point
- 10-Year TIPS Spread 1.86 unch.
- 93.8% chance of Fed rate hike at July 26 meeting, 97.0% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +174 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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