Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 39.1 +14.4%
- Euro/Yen Carry Return Index 121.59 -.09%
- Emerging Markets Currency Volatility(VXY) 11.82 +7.4%
- S&P 500 Implied Correlation 77.68 -.55%
- ISE Sentiment Index 57.0 -66.0 points
- Total Put/Call 1.16 +19.6%
- NYSE Arms 1.64 +34.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 89.80 +3.41%
- US Energy High-Yield OAS 1,360.12 -.47%
- European Financial Sector CDS Index 105.97 +4.89%
- Italian/German 10Y Yld Spread 235.25 unch.
- Asia Ex-Japan Investment Grade CDS Index 117.61 +2.53%
- Emerging Market CDS Index 349.60 +4.85%
- iBoxx Offshore RMB China Corporate High Yield Index 163.64 +.02%
- 2-Year Swap Spread 13.0 +.25 basis point
- TED Spread 47.75 -19.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 6.0 -2.0 basis points
- MBS 5/10 Treasury Spread 105.0 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.32 -.45%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 43.0 +.75 basis point
- China Iron Ore Spot 80.19 USD/Metric Tonne -.30%
- Citi US Economic Surprise Index -128.0 +16.6 points
- Citi Eurozone Economic Surprise Index -267.0 +1.5 points
- Citi Emerging Markets Economic Surprise Index 9.0 -1.2 points
- 10-Year TIPS Spread 1.05 -3.0 basis points
- n/a chance of no change at July 29th meeting, n/a chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -90 open in Japan
- China A50 Futures: Indicating -665 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
No comments:
Post a Comment