Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.2 -1.6%
- Euro/Yen Carry Return Index 135.74 +.24%
- Emerging Markets Currency Volatility(VXY) 8.67 -1.25%
- S&P 500 Implied Correlation 36.0 -1.9%
- ISE Sentiment Index 155.0 +36.0%
- Total Put/Call .80 -3.6%
- NYSE Arms .81 -6.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.11 -2.23%
- America Energy Sector High-Yield CDS Index 370.0 -1.24%
- European Financial Sector CDS Index 59.5 -1.65%
- Italian/German 10Y Yld Spread 137.75 -5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.5 -4.44%
- Emerging Market CDS Index 148.96 -5.78%
- iBoxx Offshore RMB China Corporate High Yield Index 149.33 +.03%
- 2-Year Swap Spread 24.5 -.75 basis point
- TED Spread 47.25 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.65 +1.06%
- 3-Month T-Bill Yield 1.88% unch.
- Yield Curve 43.5 -3.75 basis points
- China Iron Ore Spot 66.6 USD/Metric Tonne +1.12%
- Citi US Economic Surprise Index 21.2 -6.5 points
- Citi Eurozone Economic Surprise Index -98.90 +2.1 points
- Citi Emerging Markets Economic Surprise Index -.7 -1.2 points
- 10-Year TIPS Spread 2.18 -1.0 basis point
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +33 open in Japan
- China A50 Futures: Indicating +77 open in China
- DAX Futures: Indicating -4 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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