Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.43 -3.02%
- Euro/Yen Carry Return Index 127.41 -.32%
- Emerging Markets Currency Volatility(VXY) 11.01 +.27%
- S&P 500 Implied Correlation 54.50 -3.66%
- ISE Sentiment Index 70.0 +16.67%
- Total Put/Call 1.21 +2.54%
- NYSE Arms .81 -36.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 84.86 +.47%
- America Energy Sector High-Yield CDS Index 993.0 +7.49%
- European Financial Sector CDS Index 100.12 +2.19%
- Western Europe Sovereign Debt CDS Index 26.19 -.10%
- Asia Pacific Sovereign Debt CDS Index 55.18 +1.16%
- Emerging Market CDS Index 293.76 -.66%
- iBoxx Offshore RMB China Corporate High Yield Index 127.06 -.11%
- 2-Year Swap Spread 14.25 +.25 basis point
- TED Spread 44.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -24.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.22 +.11%
- 3-Month T-Bill Yield .19% unch.
- Yield Curve 105.0 +1.0 basis point
- China Import Iron Ore Spot $58.29/Metric Tonne -3.25%
- Citi US Economic Surprise Index -36.70 -6.0 points
- Citi Eurozone Economic Surprise Index -11.0 +.7 point
- Citi Emerging Markets Economic Surprise Index 9.80 -1.9 point
- 10-Year TIPS Spread 1.62% -1.0 basis point
- 19.2% chance of Fed rate hike at July 27 meeting, 32.1% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -52 open in Japan
- China A50 Futures: Indicating -84 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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