Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.32 -4.79%
- Euro/Yen Carry Return Index 128.93 +.46%
- Emerging Markets Currency Volatility(VXY) 10.92 +.74%
- S&P 500 Implied Correlation 52.33 -3.22%
- ISE Sentiment Index 69.0 -21.59%
- Total Put/Call .77 -31.86%
- NYSE Arms .63 -70.66%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.17 -2.5%
- America Energy Sector High-Yield CDS Index 932.0 -.45%
- European Financial Sector CDS Index 99.0 +1.05%
- Western Europe Sovereign Debt CDS Index 25.68 -1.21%
- Asia Pacific Sovereign Debt CDS Index 53.38 -.33%
- Emerging Market CDS Index 289.70 -.43%
- iBoxx Offshore RMB China Corporate High Yield Index 127.88 -.01%
- 2-Year Swap Spread 12.75 -.5 basis point
- TED Spread 36.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.50 +.23%
- 3-Month T-Bill Yield .27% unch.
- Yield Curve 97.0 +1.0 basis point
- China Import Iron Ore Spot $54.34/Metric Tonne -.37%
- Citi US Economic Surprise Index -36.20 -3.2 points
- Citi Eurozone Economic Surprise Index -5.2 +1.8 points
- Citi Emerging Markets Economic Surprise Index -2.4 -2.5 points
- 10-Year TIPS Spread 1.63% +1.0 basis point
- 19.4% chance of Fed rate hike at July 27 meeting, 37.1% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +190 open in Japan
- China A50 Futures: Indicating -35 open in China
- DAX Futures: Indicating n/a open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added some back
- Market Exposure: Moved to 50% Net Long
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