Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.7 +5.4%
- Euro/Yen Carry Return Index 127.04 -.22%
- Emerging Markets Currency Volatility(VXY) 8.38 -.71%
- S&P 500 Implied Correlation 41.3 +3.7%
- ISE Sentiment Index 68.0 -1.45%
- Total Put/Call 1.03 +7.3%
- NYSE Arms 1.31 +3.15%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.32 +2.21%
- America Energy Sector High-Yield CDS Index 567.0 +.73%
- European Financial Sector CDS Index 89.35 +2.6%
- Italian/German 10Y Yld Spread 284.50 +17.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.87 +1.02%
- Emerging Market CDS Index 208.35 +.61%
- iBoxx Offshore RMB China Corporate High Yield Index 163.13 +.01%
- 2-Year Swap Spread 3.25 -.25 basis point
- TED Spread 19.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -18.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.62 -.3%
- 3-Month T-Bill Yield 2.34% unch.
- Yield Curve 13.75 -2.0 basis points
- China Iron Ore Spot 102.75 USD/Metric Tonne -.38%
- Citi US Economic Surprise Index -35.0 +5.1 points
- Citi Eurozone Economic Surprise Index -14.40 +7.3 points
- Citi Emerging Markets Economic Surprise Index -24.20 +3.2 points
- 10-Year TIPS Spread 1.74 -3.0 basis points
- 19.4% chance of Fed rate cut at July 31st meeting, 52.1% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -175 open in Japan
- China A50 Futures: Indicating -144 open in China
- DAX Futures: Indicating -21 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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