Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.6 -8.0%
- Euro/Yen Carry Return Index 127.50 -.06%
- Emerging Markets Currency Volatility(VXY) 9.0 +.11%
- S&P 500 Implied Correlation 40.30 -2.89%
- ISE Sentiment Index 88.0 +46.7%
- Total Put/Call 1.24 +21.6%
- NYSE Arms 1.51 +91.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.07 -1.30%
- America Energy Sector High-Yield CDS Index 525.0 -7.94%
- European Financial Sector CDS Index 81.95 +2.55%
- Italian/German 10Y Yld Spread 284.5 +4.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.73 -.18%
- Emerging Market CDS Index 201.41 -1.24%
- iBoxx Offshore RMB China Corporate High Yield Index 162.80 +.02%
- 2-Year Swap Spread 7.5 -.25 basis point
- TED Spread 12.75 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -16.5 +1.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.16 +.09%
- 3-Month T-Bill Yield 2.39% unch.
- Yield Curve 20.75 -1.0 basis point
- China Iron Ore Spot 92.75 USD/Metric Tonne +.44%
- Citi US Economic Surprise Index -43.50 -12.7 points
- Citi Eurozone Economic Surprise Index -19.50 unch.
- Citi Emerging Markets Economic Surprise Index -29.60 -10.1 points
- 10-Year TIPS Spread 1.85 -2.0 basis points
- 28.4% chance of Fed rate cut at July 31st meeting, 53.2% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -8 open in Japan
- China A50 Futures: Indicating -150 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Higher: On gains in my industrial/biotech/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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