Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.55 -12.25%
- Euro/Yen Carry Return Index 132.95 +.19%
- Emerging Markets Currency Volatility(VXY) 9.27 +.43%
- S&P 500 Implied Correlation 36.76 -7.52%
- ISE Sentiment Index 99.0 +22.2%
- Total Put/Call .81 -28.32%
- NYSE Arms 1.06 -29.09%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.71 -1.17%
- America Energy Sector High-Yield CDS Index 378.0 -.49%
- European Financial Sector CDS Index 79.80 -8.1%
- Italian/German 10Y Yld Spread 230.0 -15.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.27 +.29%
- Emerging Market CDS Index 171.62 +.81%
- iBoxx Offshore RMB China Corporate High Yield Index 149.94 +.10%
- 2-Year Swap Spread 25.50 -.5 basis point
- TED Spread 41.25 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.89 -.21%
- 3-Month T-Bill Yield 1.90% -1.0 basis point
- Yield Curve 42.5 +.75 basis point
- China Iron Ore Spot 64.90 USD/Metric Tonne +.64%
- Citi US Economic Surprise Index 14.50 +3.4 points
- Citi Eurozone Economic Surprise Index -91.10 +.3 point
- Citi Emerging Markets Economic Surprise Index -6.60 -.5 point
- 10-Year TIPS Spread 2.11 +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 +202 open in Japan
- China A50 Futures: Indicating +41 open in China
- DAX Futures: Indicating +14 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/retail/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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