Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.83 +10.38%
- Euro/Yen Carry Return Index 127.67 -.42%
- Emerging Markets Currency Volatility(VXY) 10.37 +.19%
- S&P 500 Implied Correlation 58.67 +6.73%
- ISE Sentiment Index 58.0 -45.79%
- Total Put/Call 1.17 +18.18%
- NYSE Arms 1.08 -1.27%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.04 +2.14%
- America Energy Sector High-Yield CDS Index 1,050.0 -2.75%
- European Financial Sector CDS Index 89.76 +4.84%
- Western Europe Sovereign Debt CDS Index 24.97 -4.62%
- Asia Pacific Sovereign Debt CDS Index 54.31 -4.42%
- Emerging Market CDS Index 284.0 +2.43%
- iBoxx Offshore RMB China Corporate High Yield Index 126.96 -.27%
- 2-Year Swap Spread 14.0 +.75 basis point
- TED Spread 42.50 +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.59 +.36%
- 3-Month T-Bill Yield .20% -2.0 basis points
- Yield Curve 105.0 unch.
- China Import Iron Ore Spot $66.24/Metric Tonne +5.31%
- Citi US Economic Surprise Index -31.40 -2.4 points
- Citi Eurozone Economic Surprise Index -13.0 -2.7 points
- Citi Emerging Markets Economic Surprise Index 16.70 -.1 point
- 10-Year TIPS Spread 1.72% -1.0 basis point
- 24.3% chance of Fed rate hike at July 27 meeting, 41.0% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -741 open in Japan
- China A50 Futures: Indicating -42 open in China
- DAX Futures: Indicating +29 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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