Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.49 +2.91%
- Euro/Yen Carry Return Index 126.37 -.78%
- Emerging Markets Currency Volatility(VXY) 10.10 +1.61%
- S&P 500 Implied Correlation 53.10 -.09%
- ISE Sentiment Index 86.0 -36.76%
- Total Put/Call .93 +8.14%
- NYSE Arms 1.21 +25.47%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.87 +3.05%
- America Energy Sector High-Yield CDS Index 736.0 -3.14%
- European Financial Sector CDS Index 97.13 +2.08%
- Western Europe Sovereign Debt CDS Index 26.27 +2.62%
- Asia Pacific Sovereign Debt CDS Index 51.95 +1.11%
- Emerging Market CDS Index 282.86 +1.73%
- iBoxx Offshore RMB China Corporate High Yield Index 129.21 +.02%
- 2-Year Swap Spread 14.0 -.25 basis point
- TED Spread 42.25 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.50 -.46%
- 3-Month T-Bill Yield .25% +1.0 basis point
- Yield Curve 90.0 -3.0 basis points
- China Import Iron Ore Spot $52.56/Metric Tonne unch.
- Citi US Economic Surprise Index -23.20 +1.2 points
- Citi Eurozone Economic Surprise Index -3.30 +1.7 points
- Citi Emerging Markets Economic Surprise Index 8.90 -.1 point
- 10-Year TIPS Spread 1.59% -2.0 basis points
- 21.6% chance of Fed rate hike at July 27 meeting, 36.9% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -63 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) shorts
- Market Exposure: Moved to 25% Net Long
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