Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.62 +1.11%
- Euro/Yen Carry Return Index 127.62 +.86%
- Emerging Markets Currency Volatility(VXY) 10.09 -.20%
- S&P 500 Implied Correlation 52.77 -.13%
- ISE Sentiment Index 89.0 +9.88%
- Total Put/Call .67 -23.86%
- NYSE Arms .65 -46.09%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.18 -4.06%
- America Energy Sector High-Yield CDS Index 816.0 -8.01%
- European Financial Sector CDS Index 95.37 -.61%
- Western Europe Sovereign Debt CDS Index 25.99 -.40%
- Asia Pacific Sovereign Debt CDS Index 51.82 -1.7%
- Emerging Market CDS Index 281.19 -3.57%
- iBoxx Offshore RMB China Corporate High Yield Index 129.06 +.26%
- 2-Year Swap Spread 14.25 -.75 basis point
- TED Spread 40.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -31.25 -3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.95 +.57%
- 3-Month T-Bill Yield .26% -2.0 basis points
- Yield Curve 94.0 +1.0 basis point
- China Import Iron Ore Spot $51.11/Metric Tonne +2.06%
- Citi US Economic Surprise Index -24.90 -.5 point
- Citi Eurozone Economic Surprise Index -2.40 -4.2 points
- Citi Emerging Markets Economic Surprise Index 9.1 +1.7 points
- 10-Year TIPS Spread 1.58% +2.0 basis points
- 21.6% chance of Fed rate hike at July 27 meeting, 42.0% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +135 open in Japan
- China A50 Futures: Indicating -197 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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