Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.64 -.78%
- Euro/Yen Carry Return Index 133.83 +.10%
- Emerging Markets Currency Volatility(VXY) 9.16 +.11%
- S&P 500 Implied Correlation 35.18 -3.96%
- ISE Sentiment Index 104.0 -15.5%
- Total Put/Call .77 -3.8%
- NYSE Arms 1.14 -1.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.56 +.67%
- America Energy Sector High-Yield CDS Index 375.0 -.78%
- European Financial Sector CDS Index 79.53 +7.1%
- Italian/German 10Y Yld Spread 242.0 +30.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.65 -1.4%
- Emerging Market CDS Index 170.14 +.28%
- iBoxx Offshore RMB China Corporate High Yield Index 149.84 -.12%
- 2-Year Swap Spread 26.25 unch.
- TED Spread 39.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.0 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.95 -.23%
- 3-Month T-Bill Yield 1.93% +3.0 basis points
- Yield Curve 42.50 -.5 basis point
- China Iron Ore Spot 65.25 USD/Metric Tonne +.69%
- Citi US Economic Surprise Index 11.70 +2.0 points
- Citi Eurozone Economic Surprise Index -90.0 -.2 point
- Citi Emerging Markets Economic Surprise Index -14.80 -2.1 points
- 10-Year TIPS Spread 2.14 unch.
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -29 open in Japan
- China A50 Futures: Indicating -64 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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