Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.4 +18.0%
- Euro/Yen Carry Return Index 127.19 -.51%
- Emerging Markets Currency Volatility(VXY) 8.62 +.23%
- S&P 500 Implied Correlation 40.46 +8.7%
- ISE Sentiment Index 70.0 +27.3%
- Total Put/Call 1.19 +28.0%
- NYSE Arms 1.15 -9.45%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.35 +3.37%
- America Energy Sector High-Yield CDS Index 540.0 +1.56%
- European Financial Sector CDS Index 89.17 +5.23%
- Italian/German 10Y Yld Spread 275.75 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.12 +3.31%
- Emerging Market CDS Index 210.16 +2.97%
- iBoxx Offshore RMB China Corporate High Yield Index 162.92 unch.
- 2-Year Swap Spread 4.5 -1.25 basis points
- TED Spread 16.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -18.25 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.58 -.18%
- 3-Month T-Bill Yield 2.35% -2.0 basis points
- Yield Curve 16.75 +.75 basis point
- China Iron Ore Spot 100.31 USD/Metric Tonne +.19%
- Citi US Economic Surprise Index -39.90 -10.9 points
- Citi Eurozone Economic Surprise Index -22.0 -5.7 points
- Citi Emerging Markets Economic Surprise Index -28.30 +4.8 points
- 10-Year TIPS Spread 1.75 -5.0 basis points
- 23.2% chance of Fed rate cut at July 31st meeting, 54.4% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -316 open in Japan
- China A50 Futures: Indicating -52 open in China
- DAX Futures: Indicating -26 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/industrial/tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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