Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.9 -2.8%
- Euro/Yen Carry Return Index 134.1 -1.4%
- Emerging Markets Currency Volatility(VXY) 9.3 +4.3%
- S&P 500 Implied Correlation 35.45 -.51%
- ISE Sentiment Index 92.0 -32.1%
- Total Put/Call .97 +16.9%
- NYSE Arms 1.28 +26.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.73 +.13%
- America Energy Sector High-Yield CDS Index 354.0 +1.42%
- European Financial Sector CDS Index 69.46 +2.74%
- Italian/German 10Y Yld Spread 189.25 +12.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.45 +1.26%
- Emerging Market CDS Index 156.65 -4.46%
- iBoxx Offshore RMB China Corporate High Yield Index 149.55 +.01%
- 2-Year Swap Spread 22.5 -1.0 basis point
- TED Spread 40.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -2.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.35 +.07%
- 3-Month T-Bill Yield 1.91% -2.0 basis points
- Yield Curve 47.75 -2.0 basis points
- China Iron Ore Spot 63.85 USD/Metric Tonne -.13%
- Citi US Economic Surprise Index 9.80 -1.1 points
- Citi Eurozone Economic Surprise Index -98.80 -19.0 points
- Citi Emerging Markets Economic Surprise Index -6.0 -.4 point
- 10-Year TIPS Spread 2.15 -3.0 basis points
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -89 open in Japan
- China A50 Futures: Indicating +14 open in China
- DAX Futures: Indicating +32 open in Germany
Portfolio:
- Higher: On gains in my medical/retail/biotech/tech sector longs and my emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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