Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.3 +2.5%
- Euro/Yen Carry Return Index 132.01 -.17%
- Emerging Markets Currency Volatility(VXY) 9.29 unch.
- S&P 500 Implied Correlation 39.34 +.28%
- ISE Sentiment Index 80.0 -37.5%
- Total Put/Call 1.13 +15.3%
- NYSE Arms 1.14 +120.60%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.55 +1.17%
- America Energy Sector High-Yield CDS Index 377.0 -.05%
- European Financial Sector CDS Index 86.61 +.38%
- Italian/German 10Y Yld Spread 245.25 -9.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.07 -2.78%
- Emerging Market CDS Index 172.13 +3.65%
- iBoxx Offshore RMB China Corporate High Yield Index 150.11 +.09%
- 2-Year Swap Spread 26.0 +1.5 basis points
- TED Spread 39.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.98 -.34%
- 3-Month T-Bill Yield 1.91% unch.
- Yield Curve 41.75 -2.0 basis points
- China Iron Ore Spot 65.0 USD/Metric Tonne +.70%
- Citi US Economic Surprise Index 11.10 +3.2 points
- Citi Eurozone Economic Surprise Index -91.40 +4.2 points
- Citi Emerging Markets Economic Surprise Index -6.1 +5.2 points
- 10-Year TIPS Spread 2.09 +1.0 basis point
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -99 open in Japan
- China A50 Futures: Indicating -31 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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