Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.92 -4.97%
- Euro/Yen Carry Return Index 128.22 +.77%
- Emerging Markets Currency Volatility(VXY) 10.42 +.87%
- S&P 500 Implied Correlation 55.08 -2.71%
- ISE Sentiment Index 82.0 +36.67%
- Total Put/Call .97 -16.37%
- NYSE Arms 1.61 +44.876%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.35 +1.21%
- America Energy Sector High-Yield CDS Index 1,058.0 +4.48%
- European Financial Sector CDS Index 89.95 +.22%
- Western Europe Sovereign Debt CDS Index 25.07 +.36%
- Asia Pacific Sovereign Debt CDS Index 54.40 +.15%
- Emerging Market CDS Index 282.67 -.23%
- iBoxx Offshore RMB China Corporate High Yield Index 127.03 +.04%
- 2-Year Swap Spread 14.25 +.25 basis point
- TED Spread 43.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.51 -.18%
- 3-Month T-Bill Yield .19% -1.0 basis points
- Yield Curve 107.0 +2.0 basis points
- China Import Iron Ore Spot $66.24/Metric Tonne unch.
- Citi US Economic Surprise Index -31.70 -.3 point
- Citi Eurozone Economic Surprise Index -10.80 +2.2 points
- Citi Emerging Markets Economic Surprise Index 14.50 -2.2 points
- 10-Year TIPS Spread 1.69% -3.0 basis points
- 26.1% chance of Fed rate hike at July 27 meeting, 42.3% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +38 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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