Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.47 +12.5%
- Euro/Yen Carry Return Index 125.54 -.89%
- Emerging Markets Currency Volatility(VXY) 10.53 +4.46%
- S&P 500 Implied Correlation 57.02 +5.07%
- ISE Sentiment Index 81.0 -12.96%
- Total Put/Call 1.08 +13.68%
- NYSE Arms 1.59 +29.66%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.53 +3.6%
- America Energy Sector High-Yield CDS Index 732.0 -.32%
- European Financial Sector CDS Index 101.17 +4.2%
- Western Europe Sovereign Debt CDS Index 27.33 +4.02%
- Asia Pacific Sovereign Debt CDS Index 52.67 +1.05%
- Emerging Market CDS Index 288.98 +2.22%
- iBoxx Offshore RMB China Corporate High Yield Index 129.37 +.13%
- 2-Year Swap Spread 14.0 unch.
- TED Spread 40.5 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -30.25 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.76 -.99%
- 3-Month T-Bill Yield .25% unch.
- Yield Curve 90.0 unch.
- China Import Iron Ore Spot $52.5/Metric Tonne unch.
- Citi US Economic Surprise Index -23.0 +.2 point
- Citi Eurozone Economic Surprise Index -2.50 +.8 point
- Citi Emerging Markets Economic Surprise Index 5.60 +3.3 points
- 10-Year TIPS Spread 1.56% -3.0 basis points
- 18.0% chance of Fed rate hike at July 27 meeting, 32.8% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -311 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating -57 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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