Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.44 +27.8%
- Euro/Yen Carry Return Index 128.95 -.28%
- Emerging Markets Currency Volatility(VXY) 8.43 +7.4%
- S&P 500 Implied Correlation 38.50 +9.03%
- ISE Sentiment Index 64.0 -11.11%
- Total Put/Call 1.08 -42.1%
- NYSE Arms 1.53 +124.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.46 +2.60%
- America Energy Sector High-Yield CDS Index 452.0 -.96%
- European Financial Sector CDS Index 70.53 +1.30%
- Italian/German 10Y Yld Spread 257.25 +3.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.03 +3.10%
- Emerging Market CDS Index 192.55 +2.48%
- iBoxx Offshore RMB China Corporate High Yield Index 162.21 +.10%
- 2-Year Swap Spread 10.25 -.75 basis point
- TED Spread 14.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -19.0 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.23 -.26%
- 3-Month T-Bill Yield 2.41% -1.0 basis point
- Yield Curve 19.0 -.5 basis point
- China Iron Ore Spot 91.33 USD/Metric Tonne -2.8%
- Citi US Economic Surprise Index -47.20 +4.9 points
- Citi Eurozone Economic Surprise Index -19.80 +2.6 points
- Citi Emerging Markets Economic Surprise Index -13.30 -2.9 points
- 10-Year TIPS Spread 1.90 -1.0 basis point
- 16.2% chance of Fed rate cut at July 31st meeting, 32.8% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -108 open in Japan
- China A50 Futures: Indicating +110 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Lower: On losses in my retail/medical/industrial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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