Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.72 +.51%
- Euro/Yen Carry Return Index 127.38 -.17%
- Emerging Markets Currency Volatility(VXY) 9.86 -1.99%
- S&P 500 Implied Correlation 53.26 +1.50%
- ISE Sentiment Index 88.0 -12.87%
- Total Put/Call .85 +14.86%
- NYSE Arms 1.03 +38.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.63 -.96%
- America Energy Sector High-Yield CDS Index 794.0 -1.97%
- European Financial Sector CDS Index 94.13 -1.30%
- Western Europe Sovereign Debt CDS Index 25.95 -.15%
- Asia Pacific Sovereign Debt CDS Index 51.05 -1.35%
- Emerging Market CDS Index 280.57 -.69%
- iBoxx Offshore RMB China Corporate High Yield Index 129.17 +.09%
- 2-Year Swap Spread 14.0 +.25 basis point
- TED Spread 41.25 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -31.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.38 +.63%
- 3-Month T-Bill Yield .26% unch.
- Yield Curve 93.0 -1.0 basis point
- China Import Iron Ore Spot $52.54/Metric Tonne +2.80%
- Citi US Economic Surprise Index -25.20 -.3 point
- Citi Eurozone Economic Surprise Index -2.40 unch.
- Citi Emerging Markets Economic Surprise Index 10.6 unch.
- 10-Year TIPS Spread 1.60% +2.0 basis points
- 19.6% chance of Fed rate hike at July 27 meeting, 40.1% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +75 open in Japan
- China A50 Futures: Indicating -182 open in China
- DAX Futures: Indicating -30 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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