Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.5 -.7%
- Euro/Yen Carry Return Index 128.43 +1.3%
- Emerging Markets Currency Volatility(VXY) 9.90 +.2%
- S&P 500 Implied Correlation 60.6 -.6%
- ISE Sentiment Index 89.0 -26.0 points
- Total Put/Call .73 +7.4%
- NYSE Arms .51 -25.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.69 -1.09%
- US Energy High-Yield OAS 953.39 -1.33%
- European Financial Sector CDS Index 73.94 -4.61%
- Italian/German 10Y Yld Spread 174.0 -16.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 90.90 -3.53%
- Emerging Market CDS Index 242.86 -.03%
- iBoxx Offshore RMB China Corporate High Yield Index 168.99 -.01%
- 2-Year Swap Spread 7.75 +.5 basis point
- TED Spread 19.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -.5 basis point
- MBS 5/10 Treasury Spread 113.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 69.0 +2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.46 -.11%
- 3-Month T-Bill Yield .14% -1.0 basis point
- Yield Curve 55.25 +1.5 basis points
- China Iron Ore Spot 96.70 USD/Metric Tonne -.47%
- Citi US Economic Surprise Index 8.30 +.3 point
- Citi Eurozone Economic Surprise Index -209.80 +16.5 points
- Citi Emerging Markets Economic Surprise Index 42.4 -1.1 points
- 10-Year TIPS Spread 1.2 +1.0 basis point
- 99.3% chance of no change at July 29th meeting, 99.3% chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -4 open in Japan
- China A50 Futures: Indicating -135 open in China
- DAX Futures: Indicating -49 open in Germany
Portfolio:
- Lower: On losses in my biotech/tech/medical/consumer staple sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment