Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.3 +2.51%
- Euro/Yen Carry Return Index 127.74 +.23%
- Emerging Markets Currency Volatility(VXY) 8.43 -.94%
- S&P 500 Implied Correlation 39.96 +3.42%
- ISE Sentiment Index 71.0 -19.3%
- Total Put/Call .98 +25.6%
- NYSE Arms .65 -.48%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.42 -.33%
- America Energy Sector High-Yield CDS Index 615.0 -.63%
- European Financial Sector CDS Index 77.39 +1.01%
- Italian/German 10Y Yld Spread 262.5 +4.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.29 -2.4%
- Emerging Market CDS Index 192.79 -.93%
- iBoxx Offshore RMB China Corporate High Yield Index 163.64 +.09%
- 2-Year Swap Spread 5.0 -1.5 basis points
- TED Spread 19.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.84 +.24%
- 3-Month T-Bill Yield 2.24% -3.0 basis points
- Yield Curve 22.0 -2.5 basis points
- China Iron Ore Spot 102.36 USD/Metric Tonne +4.48%
- Citi US Economic Surprise Index -52.20 +3.8 points
- Citi Eurozone Economic Surprise Index -25.5 +1.2 points
- Citi Emerging Markets Economic Surprise Index -28.40 unch.
- 10-Year TIPS Spread 1.73 -1.0 basis point
- 75.0% chance of Fed rate cut at July 31st meeting, 92.4% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -49 open in Japan
- China A50 Futures: Indicating -100 open in China
- DAX Futures: Indicating -27 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment