Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.52 +7.85%
- Euro/Yen Carry Return Index 128.42 -.4%
- Emerging Markets Currency Volatility(VXY) 7.77 -.77%
- S&P 500 Implied Correlation 38.36 +.45%
- ISE Sentiment Index 67.0 -19.28%
- Total Put/Call .95 -10.38%
- NYSE Arms .68 -18.56%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.25 -.86%
- America Energy Sector High-Yield CDS Index 414.0 -1.27%
- European Financial Sector CDS Index 63.99 -1.36%
- Western Europe Sovereign Debt CDS Index 7.26 -3.72%
- Asia Pacific Sovereign Debt CDS Index 17.68 -.56%
- Emerging Market CDS Index 194.80 +.20%
- iBoxx Offshore RMB China Corporate High Yield Index 139.01 +.11%
- 2-Year Swap Spread 19.5 -1.25 basis points
- TED Spread 23.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -33.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.25 -.04%
- 3-Month T-Bill Yield 1.0% unch.
- Yield Curve 86.0 -1.0 basis point
- China Import Iron Ore Spot $54.87/Metric Tonne +.85%
- Citi US Economic Surprise Index -45.30 -1.9 points
- Citi Eurozone Economic Surprise Index 35.90 -3.2 points
- Citi Emerging Markets Economic Surprise Index 6.0 -.9 point
- 10-Year TIPS Spread 1.77 -3.0 basis points
- 99.5% chance of Fed rate hike at July 26 meeting, 99.7% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -87 open in Japan
- China A50 Futures: Indicating -75 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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