Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.44 +5.18%
- Euro/Yen Carry Return Index 129.0 +.03%
- Emerging Markets Currency Volatility(VXY) 10.80 -1.10%
- S&P 500 Implied Correlation 55.39 +3.75%
- ISE Sentiment Index 57.0 -13.64%
- Total Put/Call .92 +19.48%
- NYSE Arms .69 +6.34%
Credit Investor Angst:
- North American Investment Grade CDS Index 82.02 +.58%
- America Energy Sector High-Yield CDS Index 935.0 +3.62%
- European Financial Sector CDS Index 99.0 unch.
- Western Europe Sovereign Debt CDS Index 25.58 -.41%
- Asia Pacific Sovereign Debt CDS Index 52.82 -1.06%
- Emerging Market CDS Index 296.43 +1.98%
- iBoxx Offshore RMB China Corporate High Yield Index 127.98 +.07%
- 2-Year Swap Spread 13.0 +.25 basis point
- TED Spread 36.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -23.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.61 +.20%
- 3-Month T-Bill Yield .27% unch.
- Yield Curve 94.0 -3.0 basis points
- China Import Iron Ore Spot $55.78/Metric Tonne +2.65%
- Citi US Economic Surprise Index -30.60 -5.6 points
- Citi Eurozone Economic Surprise Index -4.2 +1.0 points
- Citi Emerging Markets Economic Surprise Index -2.9 -.5 point
- 10-Year TIPS Spread 1.65% +2.0 basis points
- 31.1% chance of Fed rate hike at July 27 meeting, 47.7% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +9 open in Japan
- China A50 Futures: Indicating -77 open in China
- DAX Futures: Indicating -51 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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