Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.86 -1.6%
- Euro/Yen Carry Return Index 130.79 +.17%
- Emerging Markets Currency Volatility(VXY) 8.26 +1.10%
- S&P 500 Implied Correlation 38.79 -.1%
- ISE Sentiment Index 79.0 +17.9%
- Total Put/Call .83 -10.75%
- NYSE Arms 1.61 +34.53%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.19 -.21%
- America Energy Sector High-Yield CDS Index 360.0 +.12%
- European Financial Sector CDS Index 66.25 -2.56%
- Western Europe Sovereign Debt CDS Index 8.14 -.59%
- Asia Pacific Sovereign Debt CDS Index 19.38 -.59%
- Emerging Market CDS Index 193.34 +.73%
- iBoxx Offshore RMB China Corporate High Yield Index 138.52 +.02%
- 2-Year Swap Spread 24.0 +1.5 basis points
- TED Spread 27.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -33.75-.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.04 -.04%
- 3-Month T-Bill Yield .92% -1.0 basis point
- Yield Curve 96.0 -.5 basis point
- China Import Iron Ore Spot $60.24/Metric Tonne -.46%
- Citi US Economic Surprise Index -38.10 +.7 point
- Citi Eurozone Economic Surprise Index 60.30 -.6 point
- Citi Emerging Markets Economic Surprise Index 19.80 -2.0 points
- 10-Year TIPS Spread 1.82 -2.0 basis points
- 95.3% chance of Fed rate hike at July 26 meeting, 96.7% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +2 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my retail/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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