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) 16.81 -12.0%
- Euro/Yen Carry Return Index 128.23 +.27%
- Emerging Markets Currency Volatility(VXY) 8.80 -5.27%
- S&P 500 Implied Correlation 38.65 -3.7%
- ISE Sentiment Index 64.0 +4.9%
- Total Put/Call 1.27 -.78%
- NYSE Arms .91 -23.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.97 -1.41%
- America Energy Sector High-Yield CDS Index 460.0 +2.09%
- European Financial Sector CDS Index 79.10 -.47%
- Italian/German 10Y Yld Spread 272.75 -.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 70.20 -.72%
- Emerging Market CDS Index 198.55 -1.57%
- iBoxx Offshore RMB China Corporate High Yield Index 162.68 +.03%
- 2-Year Swap Spread 10.0 unch.
- TED Spread 13.25 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -17.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.34 +.51%
- 3-Month T-Bill Yield 2.42% +1.0 basis point
- Yield Curve 20.50 +2.0 basis points
- China Iron Ore Spot 94.15 USD/Metric Tonne +4.1%
- Citi US Economic Surprise Index -47.70 -4.8 points
- Citi Eurozone Economic Surprise Index -16.70 +.2 point
- Citi Emerging Markets Economic Surprise Index -19.30 -1.6 points
- 10-Year TIPS Spread 1.87 +1.0 basis point
- 15.7% chance of Fed rate cut at July 31st meeting, 36.1% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +41 open in Japan
- China A50 Futures: Indicating -231 open in China
- DAX Futures: Indicating +92 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/industrial/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: 75% Net Long
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