Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.47 +.29%
- Euro/Yen Carry Return Index 129.04 +.19%
- Emerging Markets Currency Volatility(VXY) 8.15 +.49%
- S&P 500 Implied Correlation 41.11 +.54%
- ISE Sentiment Index 65.0 -20.7%
- Total Put/Call .92 +19.48%
- NYSE Arms 1.26 +46.43%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.0 +.83%
- America Energy Sector High-Yield CDS Index 397.0 +2.17%
- European Financial Sector CDS Index 68.95 -3.55%
- Western Europe Sovereign Debt CDS Index 8.26 -1.02%
- Asia Pacific Sovereign Debt CDS Index 18.37 -1.53%
- Emerging Market CDS Index 194.64 +1.73%
- iBoxx Offshore RMB China Corporate High Yield Index 138.76 +.03%
- 2-Year Swap Spread 20.75 unch.
- TED Spread 23.25 -2.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.25 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.24 -.33%
- 3-Month T-Bill Yield .99% +2.0 basis points
- Yield Curve 86.0 +1.0 basis point
- China Import Iron Ore Spot $55.43/Metric Tonne -1.07%
- Citi US Economic Surprise Index -42.40 -.6 point
- Citi Eurozone Economic Surprise Index 39.0 -3.8 points
- Citi Emerging Markets Economic Surprise Index 8.90 -1.2 points
- 10-Year TIPS Spread 1.80 unch.
- 95.8% chance of Fed rate hike at July 26 meeting, 96.8% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +36 open in Japan
- China A50 Futures: Indicating -52 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my retail/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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