Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.67 +.66%
- Euro/Yen Carry Return Index 129.28 +.14%
- Emerging Markets Currency Volatility(VXY) 7.99 -2.20%
- S&P 500 Implied Correlation 42.25 +1.46%
- ISE Sentiment Index 97.0 -7.62%
- Total Put/Call .82 -9.89%
- NYSE Arms 1.16 +1.67%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.50 +.74%
- America Energy Sector High-Yield CDS Index 372.0 -.39%
- European Financial Sector CDS Index 68.70 +2.1%
- Western Europe Sovereign Debt CDS Index 7.88 +5.99%
- Asia Pacific Sovereign Debt CDS Index 20.51 +.22%
- Emerging Market CDS Index 194.57 -.36%
- iBoxx Offshore RMB China Corporate High Yield Index 137.66 -.04%
- 2-Year Swap Spread 25.0 -1.0 basis point
- TED Spread 31.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.44 +.26%
- 3-Month T-Bill Yield .87% -1.0 basis point
- Yield Curve 104.0 -2.0 basis points
- China Import Iron Ore Spot $61.38/Metric Tonne +1.66%
- Citi US Economic Surprise Index -29.50 -10.3 points
- Citi Eurozone Economic Surprise Index 69.50 -.1 point
- Citi Emerging Markets Economic Surprise Index 33.1 +3.5 points
- 10-Year TIPS Spread 1.86 -5.0 basis points
- 88.4% chance of Fed rate hike at July 26 meeting, 92.9% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -53 open in Japan
- China A50 Futures: Indicating +46 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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