Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Slightly Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.23 -16.58%
- Euro/Yen Carry Return Index 130.26 +.82%
- Emerging Markets Currency Volatility(VXY) 8.71 -3.76%
- S&P 500 Implied Correlation 41.81 -8.69%
- ISE Sentiment Index 85.0 -8.6%
- Total Put/Call .93 -16.96%
- NYSE Arms .57 -50.19%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.65 -2.4%
- America Energy Sector High-Yield CDS Index 369.0 +.25%
- European Financial Sector CDS Index 69.16 -2.47%
- Western Europe Sovereign Debt CDS Index 9.40 +8.24%
- Asia Pacific Sovereign Debt CDS Index 20.28 -4.02%
- Emerging Market CDS Index 196.18 -4.61%
- iBoxx Offshore RMB China Corporate High Yield Index 138.35 +.04%
- 2-Year Swap Spread 24.25 +1.5 basis points
- TED Spread 26.25 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -30.75 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.91 +1.10%
- 3-Month T-Bill Yield .90% +1.0 basis point
- Yield Curve 97.0 +1.0 basis point
- China Import Iron Ore Spot $62.69/Metric Tonne +1.77%
- Citi US Economic Surprise Index -33.40 +.2 point
- Citi Eurozone Economic Surprise Index 59.50 -2.4 points
- Citi Emerging Markets Economic Surprise Index 27.8 +.1 point
- 10-Year TIPS Spread 1.85 +7.0 basis points
- 90.2% chance of Fed rate hike at July 26 meeting, 93.7% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +150 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
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