Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.0 -1.55%
- Euro/Yen Carry Return Index 128.02 -.13%
- Emerging Markets Currency Volatility(VXY) 8.74 unch.
- S&P 500 Implied Correlation 39.1 -3.0%
- ISE Sentiment Index 96.0 +17.1%
- Total Put/Call 1.14 +31.0%
- NYSE Arms .86 -35.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.46 +1.67%
- America Energy Sector High-Yield CDS Index 456.0 +.22%
- European Financial Sector CDS Index 75.31 +.66%
- Italian/German 10Y Yld Spread 265.75 unch.
- Asia Ex-Japan Investment Grade CDS Index 69.57 +3.39%
- Emerging Market CDS Index 197.23 -.75%
- iBoxx Offshore RMB China Corporate High Yield Index 162.53 +.06%
- 2-Year Swap Spread 10.25 +.25 basis point
- TED Spread 15.5 -1.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 +2.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.05 +.03%
- 3-Month T-Bill Yield 2.42% +1.0 basis point
- Yield Curve 19.0 +2.25 basis points
- China Iron Ore Spot 92.78 USD/Metric Tonne +1.05%
- Citi US Economic Surprise Index -43.20 +1.5 points
- Citi Eurozone Economic Surprise Index -17.10 +3.3 points
- Citi Emerging Markets Economic Surprise Index -15.90 -2.6 points
- 10-Year TIPS Spread 1.87 unch.
- 13.8% chance of Fed rate cut at July 31st meeting, 31.8% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -42 open in Japan
- China A50 Futures: Indicating -111 open in China
- DAX Futures: Indicating +44 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/industrial/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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