Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.5 -7.59%
- Euro/Yen Carry Return Index 135.5 -.37%
- Emerging Markets Currency Volatility(VXY) 9.03 +1.8%
- S&P 500 Implied Correlation 34.78 -3.2%
- ISE Sentiment Index 87.0 -18.7%
- Total Put/Call .87 -20.9%
- NYSE Arms .83 -1.39%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.81 -.25%
- America Energy Sector High-Yield CDS Index 368.0 +.41%
- European Financial Sector CDS Index 61.4 +5.36%
- Italian/German 10Y Yld Spread 151.0 +20.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.89 +5.05%
- Emerging Market CDS Index 159.31 -1.2%
- iBoxx Offshore RMB China Corporate High Yield Index 149.39 unch.
- 2-Year Swap Spread 22.75 +1.5 basis points
- TED Spread 41.5 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.71 +.26%
- 3-Month T-Bill Yield 1.90% unch.
- Yield Curve 50.5 +1.25 basis points
- China Iron Ore Spot 67.64 USD/Metric Tonne -.03%
- Citi US Economic Surprise Index 11.20 -6.7 points
- Citi Eurozone Economic Surprise Index -95.40 +1.5 points
- Citi Emerging Markets Economic Surprise Index -6.0 -2.1 points
- 10-Year TIPS Spread 2.20 +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 +97 open in Japan
- China A50 Futures: Indicating +63 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech/industrial/retail sector longs
- 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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