Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.76 +7.44%
- Euro/Yen Carry Return Index 128.63 +.47%
- Emerging Markets Currency Volatility(VXY) 10.89 +2.45%
- S&P 500 Implied Correlation 57.87 +1.94%
- ISE Sentiment Index 71.0 +20.34%
- Total Put/Call .99 -10.0%
- NYSE Arms 1.51 -22.44%
Credit Investor Angst:
- North American Investment Grade CDS Index 83.31 +2.25%
- America Energy Sector High-Yield CDS Index 1,125.0 +3.01%
- European Financial Sector CDS Index 99.05 +3.83%
- Western Europe Sovereign Debt CDS Index 25.70 +.19%
- Asia Pacific Sovereign Debt CDS Index 54.61 +1.26%
- Emerging Market CDS Index 295.25 +1.80%
- iBoxx Offshore RMB China Corporate High Yield Index 127.14 +.09%
- 2-Year Swap Spread 14.0 -.25 basis point
- TED Spread 43.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.50 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.24 -.67%
- 3-Month T-Bill Yield .19% -1.0 basis point
- Yield Curve 105.0 +1.0 basis point
- China Import Iron Ore Spot $60.09/Metric Tonne -5.24%
- Citi US Economic Surprise Index -28.40 +3.0 points
- Citi Eurozone Economic Surprise Index -12.50 -2.2 points
- Citi Emerging Markets Economic Surprise Index 11.0 -1.6 points
- 10-Year TIPS Spread 1.64% -1.0 basis point
- 22.6% chance of Fed rate hike at July 27 meeting, 35.0% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -207 open in Japan
- China A50 Futures: Indicating -69 open in China
- DAX Futures: Indicating +14 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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