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) 14.97 -5.79%
- Euro/Yen Carry Return Index 135.88 -.31%
- Emerging Markets Currency Volatility(VXY) 8.67 +.70%
- S&P 500 Implied Correlation 41.21 -1.74%
- ISE Sentiment Index 79.0 +8.22%
- Total Put/Call .98 -3.92%
- NYSE Arms .56 -53.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.50 -1.17%
- America Energy Sector High-Yield CDS Index 398.0 -1.06%
- European Financial Sector CDS Index 60.42 -.49%
- Italian/German 10Y Yld Spread 125.25 +4.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.57 +3.29%
- Emerging Market CDS Index 148.69 -4.46%
- iBoxx Offshore RMB China Corporate High Yield Index 149.22 -.07%
- 2-Year Swap Spread 26.25 -.5 basis point
- TED Spread 53.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.64 +.08%
- 3-Month T-Bill Yield 1.83% unch.
- Yield Curve 46.5 +.25 basis point
- China Iron Ore Spot 66.83 USD/Metric Tonne -.25%
- Citi US Economic Surprise Index 30.9 -3.8 points
- Citi Eurozone Economic Surprise Index -96.60 -8.9 points
- Citi Emerging Markets Economic Surprise Index -.8 +.2 point
- 10-Year TIPS Spread 2.16 -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 +33 open in Japan
- China A50 Futures: Indicating +74 open in China
- DAX Futures: Indicating +36 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/industrial/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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