Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Falling
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 18.5 +6.7%
- Euro/Yen Carry Return Index 125.84 -.72%
- Emerging Markets Currency Volatility(VXY) 8.58 +2.88%
- S&P 500 Implied Correlation 44.50 +5.0%
- ISE Sentiment Index 52.0 -47.5%
- Total Put/Call 1.31 +20.2%
- NYSE Arms 1.01 -18.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.61 +4.03%
- America Energy Sector High-Yield CDS Index 600.0 +1.85%
- European Financial Sector CDS Index 91.67 +2.29%
- Italian/German 10Y Yld Spread 287.25 +4.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 78.83 +2.62%
- Emerging Market CDS Index 211.36 +1.14%
- iBoxx Offshore RMB China Corporate High Yield Index 163.23 +.03%
- 2-Year Swap Spread 5.0 unch.
- TED Spread 16.75 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.5 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.95 +.27%
- 3-Month T-Bill Yield 2.34% -2.0 basis points
- Yield Curve 19.5 +4.25 basis points
- China Iron Ore Spot 97.62 USD/Metric Tonne -.74%
- Citi US Economic Surprise Index -32.3 +1.6 points
- Citi Eurozone Economic Surprise Index -20.30 +.6 point
- Citi Emerging Markets Economic Surprise Index -26.50 -2.2 points
- 10-Year TIPS Spread 1.75 unch.
- 51.2% chance of Fed rate cut at July 31st meeting, 73.6% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -146 open in Japan
- China A50 Futures: Indicating -160 open in China
- DAX Futures: Indicating -22 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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