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) 16.7 +4.7%
- Euro/Yen Carry Return Index 128.66 -.39%
- Emerging Markets Currency Volatility(VXY) 11.12 +2.02%
- S&P 500 Implied Correlation 56.69 +1.18%
- ISE Sentiment Index 60.0 -24.0%
- Total Put/Call 1.37 +35.64%
- NYSE Arms .70 -30.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 84.96 +1.26%
- America Energy Sector High-Yield CDS Index 970.0 +.21%
- European Financial Sector CDS Index 100.76 +1.39%
- Western Europe Sovereign Debt CDS Index 25.95 +.19%
- Asia Pacific Sovereign Debt CDS Index 55.48 +2.35%
- Emerging Market CDS Index 309.17 +2.34%
- iBoxx Offshore RMB China Corporate High Yield Index 128.10 +.06%
- 2-Year Swap Spread 13.50 +1.5 basis point
- TED Spread 33.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.57 -.47%
- 3-Month T-Bill Yield .30% unch.
- Yield Curve 96.0 -2.0 basis points
- China Import Iron Ore Spot $53.47/Metric Tonne -5.83%
- Citi US Economic Surprise Index -30.60 +1.1 points
- Citi Eurozone Economic Surprise Index -1.4 +1.6 points
- Citi Emerging Markets Economic Surprise Index -1.9 +.7 point
- 10-Year TIPS Spread 1.61% -4.0 basis points
- 46.7% chance of Fed rate hike at July 27 meeting, 58.4% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -101 open in Japan
- China A50 Futures: Indicating -80 open in China
- DAX Futures: Indicating +8 open in Germany
Portfolio:
- Higher: On gains in my retail sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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