Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.5 +3.3%
- Euro/Yen Carry Return Index 133.98 -.55%
- Emerging Markets Currency Volatility(VXY) 9.46 unch.
- S&P 500 Implied Correlation 34.49 +.2%
- ISE Sentiment Index 76.0 -15.5%
- Total Put/Call .94 +3.3%
- NYSE Arms .72 -27.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.99 +1.24%
- America Energy Sector High-Yield CDS Index 375.0 +.23%
- European Financial Sector CDS Index 90.40 +4.37%
- Italian/German 10Y Yld Spread 267.75 +10.0 basis points
- Asia Pacific Sovereign Debt CDS Index 13.05 +1.4%
- Emerging Market CDS Index 178.60 +.99%
- iBoxx Offshore RMB China Corporate High Yield Index 149.79 +.15%
- 2-Year Swap Spread 27.25 -.25 basis point
- TED Spread 40.0 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.92 +.01%
- 3-Month T-Bill Yield 1.92% unch.
- Yield Curve 43.25 -.5 basis point
- China Iron Ore Spot 65.10 USD/Metric Tonne +.20%
- Citi US Economic Surprise Index 10.20 -.3 point
- Citi Eurozone Economic Surprise Index -100.10 -4.6 points
- Citi Emerging Markets Economic Surprise Index -14.90 +.9 point
- 10-Year TIPS Spread 2.13 -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 -79 open in Japan
- China A50 Futures: Indicating -61 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment