Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.6 +12.9%
- Euro/Yen Carry Return Index 136.13 -.03%
- Emerging Markets Currency Volatility(VXY) 8.92 +4.2%
- S&P 500 Implied Correlation 35.89 +6.1%
- ISE Sentiment Index 116.0 -4.1%
- Total Put/Call 1.11 +27.6%
- NYSE Arms .88 +7.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.75 +1.98%
- America Energy Sector High-Yield CDS Index 368.0 -.12%
- European Financial Sector CDS Index 58.28 +1.87%
- Italian/German 10Y Yld Spread 131.0 +.75 basis point
- Asia Pacific Sovereign Debt CDS Index 12.29 +2.12%
- Emerging Market CDS Index 164.42 +6.12%
- iBoxx Offshore RMB China Corporate High Yield Index 149.39 -.05%
- 2-Year Swap Spread 21.25 +.25 basis point
- TED Spread 43.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.25 -4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.48 -.96%
- 3-Month T-Bill Yield 1.90% +1.0 basis point
- Yield Curve 49.25 +4.5 basis points
- China Iron Ore Spot 67.73 USD/Metric Tonne -.04%
- Citi US Economic Surprise Index 17.90 -1.1 points
- Citi Eurozone Economic Surprise Index -96.90 -2.3 points
- Citi Emerging Markets Economic Surprise Index -3.9 -2.6 points
- 10-Year TIPS Spread 2.19 +3.0 basis points
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -68 open in Japan
- China A50 Futures: Indicating -135 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment