Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.07 -2.05%
- Euro/Yen Carry Return Index 136.06 +.24%
- Emerging Markets Currency Volatility(VXY) 8.96 unch.
- S&P 500 Implied Correlation 33.48 +3.8%
- ISE Sentiment Index 116.0 +12.6%
- Total Put/Call .82 -6.82%
- NYSE Arms .96 +7.78%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.13 +.22%
- America Energy Sector High-Yield CDS Index 362.0 -1.54%
- European Financial Sector CDS Index 62.57 +1.9%
- Italian/German 10Y Yld Spread 147.50 -3.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.87 -.19%
- Emerging Market CDS Index 162.97 +2.73%
- iBoxx Offshore RMB China Corporate High Yield Index 149.35 -.03%
- 2-Year Swap Spread 25.0 +2.25 basis points
- TED Spread 41.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.41 -.43%
- 3-Month T-Bill Yield 1.90% unch.
- Yield Curve 53.75 +3.25 basis points
- China Iron Ore Spot 67.84 USD/Metric Tonne +.38%
- Citi US Economic Surprise Index 12.50 +1.3 points
- Citi Eurozone Economic Surprise Index -93.60 +1.8 points
- Citi Emerging Markets Economic Surprise Index -4.90 +1.1 points
- 10-Year TIPS Spread 2.20 unch.
- 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 +15 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial/retail sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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