Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.9 -12.4%
- Euro/Yen Carry Return Index 132.19 +1.16%
- Emerging Markets Currency Volatility(VXY) 9.38 -.21%
- S&P 500 Implied Correlation 38.31 -3.26%
- ISE Sentiment Index 164.0 +56.2%
- Total Put/Call 1.02 -5.56%
- NYSE Arms .50 -73.61%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.13 -2.58%
- America Energy Sector High-Yield CDS Index 380.0 +.41%
- European Financial Sector CDS Index 87.54 -3.5%
- Italian/German 10Y Yld Spread 254.5 -36.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.39 unch.
- Emerging Market CDS Index 164.17 -2.76%
- iBoxx Offshore RMB China Corporate High Yield Index 150.0 -.07%
- 2-Year Swap Spread 24.50 +.5 basis point
- TED Spread 39.25 -3.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 +6.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.17 +.71%
- 3-Month T-Bill Yield 1.91% +3.0 basis points
- Yield Curve 43.75 -.25 basis point
- China Iron Ore Spot 64.30 USD/Metric Tonne -.58%
- Citi US Economic Surprise Index 7.90 -3.3 points
- Citi Eurozone Economic Surprise Index -95.60 -2.5 points
- Citi Emerging Markets Economic Surprise Index -11.3 -1.3 points
- 10-Year TIPS Spread 2.08 +2.0 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 +252 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating +31 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/medical/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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