Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.44 +.07%
- Euro/Yen Carry Return Index 135.71 -.23%
- Emerging Markets Currency Volatility(VXY) 9.22 +2.56%
- S&P 500 Implied Correlation 35.95 +2.86%
- ISE Sentiment Index 98.0 -31.47%
- Total Put/Call .96 +15.7%
- NYSE Arms 1.87 +92.72%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.63 +1.16%
- America Energy Sector High-Yield CDS Index 358.0 -1.26%
- European Financial Sector CDS Index 65.50 +6.2%
- Italian/German 10Y Yld Spread 165.0 +17.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.96 +.54%
- Emerging Market CDS Index 170.69 +3.48%
- iBoxx Offshore RMB China Corporate High Yield Index 149.19 -.11%
- 2-Year Swap Spread 24.0 -1.0 basis point
- TED Spread 44.25 +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -7.0 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.01 -.48%
- 3-Month T-Bill Yield 1.89% -1.0 basis point
- Yield Curve 52.0 -1.75 basis points
- China Iron Ore Spot 65.11 USD/Metric Tonne -2.62%
- Citi US Economic Surprise Index 12.30 -.2 point
- Citi Eurozone Economic Surprise Index -91.70 +1.9 points
- Citi Emerging Markets Economic Surprise Index -4.80 +.1 point
- 10-Year TIPS Spread 2.17 -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 -79 open in Japan
- China A50 Futures: Indicating -39 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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