Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.1 -1.3%
- Euro/Yen Carry Return Index 127.84 -.12%
- Emerging Markets Currency Volatility(VXY) 9.63 +7.7%
- S&P 500 Implied Correlation 40.6 +3.7%
- ISE Sentiment Index 59.0 -22.0%
- Total Put/Call 1.27 +6.7%
- NYSE Arms 1.37 +30.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.07 +1.85%
- America Energy Sector High-Yield CDS Index 449.0 -1.32%
- European Financial Sector CDS Index 79.47 +5.52%
- Italian/German 10Y Yld Spread 273.0 +7.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 70.80 +1.97%
- Emerging Market CDS Index 200.79 +1.83%
- iBoxx Offshore RMB China Corporate High Yield Index 162.64 +.06%
- 2-Year Swap Spread 10.0 -.25 basis point
- TED Spread 14.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.0 -.14%
- 3-Month T-Bill Yield 2.41% -1.0 basis point
- Yield Curve 18.50 -.5 basis point
- China Iron Ore Spot 89.43 USD/Metric Tonne -3.75%
- Citi US Economic Surprise Index -42.90 -.3 point
- Citi Eurozone Economic Surprise Index -16.90 -.2 point
- Citi Emerging Markets Economic Surprise Index -17.70 -1.8 points
- 10-Year TIPS Spread 1.86 -1.0 basis point
- 16.7% chance of Fed rate cut at July 31st meeting, 34.5% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -92 open in Japan
- China A50 Futures: Indicating +53 open in China
- DAX Futures: Indicating +99 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/industrial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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