Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.5 -3.0%
- Euro/Yen Carry Return Index 127.87 -.2%
- Emerging Markets Currency Volatility(VXY) 8.67 -2.69%
- S&P 500 Implied Correlation 37.01 -.4%
- ISE Sentiment Index 54.0 -52.51%
- Total Put/Call .90 -10.0%
- NYSE Arms 1.26 +75.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.25 +.01%
- America Energy Sector High-Yield CDS Index 535.0 -.09%
- European Financial Sector CDS Index 84.74 +3.38%
- Italian/German 10Y Yld Spread 271.75 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 71.86 +.92%
- Emerging Market CDS Index 204.08 +2.04%
- iBoxx Offshore RMB China Corporate High Yield Index 162.92 +.02%
- 2-Year Swap Spread 5.75 -.5 basis point
- TED Spread 16.0 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -17.25 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.70 -.12%
- 3-Month T-Bill Yield 2.37% unch.
- Yield Curve 16.0 -1.0 basis point
- China Iron Ore Spot 101.08 USD/Metric Tonne +.16%
- Citi US Economic Surprise Index -29.0 +.7 point
- Citi Eurozone Economic Surprise Index -16.30 +.5 point
- Citi Emerging Markets Economic Surprise Index -33.10 unch.
- 10-Year TIPS Spread 1.80 -4.0 basis points
- 17.6% chance of Fed rate cut at July 31st meeting, 38.3% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -23 open in Japan
- China A50 Futures: Indicating -79 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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