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) 18.1 +1.0%
- Euro/Yen Carry Return Index 126.73 +.02%
- Emerging Markets Currency Volatility(VXY) 8.35 -1.53%
- S&P 500 Implied Correlation 44.43 +2.11%
- ISE Sentiment Index 84.0 +37.7%
- Total Put/Call 1.08 -23.4%
- NYSE Arms 1.22 +24.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.29 +.28%
- America Energy Sector High-Yield CDS Index 589.0 +1.46%
- European Financial Sector CDS Index 89.61 -2.43%
- Italian/German 10Y Yld Spread 283.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 76.86 -.06%
- Emerging Market CDS Index 208.73 -.72%
- iBoxx Offshore RMB China Corporate High Yield Index 163.17 unch.
- 2-Year Swap Spread 5.0 +.5 basis point
- TED Spread 18.50-.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.53 -.12%
- 3-Month T-Bill Yield 2.36% +2.0 basis points
- Yield Curve 15.25 -.25 basis point
- China Iron Ore Spot 97.05 USD/Metric Tonne -.87%
- Citi US Economic Surprise Index -33.9 -.8 point
- Citi Eurozone Economic Surprise Index -20.90 -.7 point
- Citi Emerging Markets Economic Surprise Index -24.30 -.2 point
- 10-Year TIPS Spread 1.75 +2.0 basis points
- 29.4% chance of Fed rate cut at July 31st meeting, 58.7% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -53 open in Japan
- China A50 Futures: Indicating -157 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/medical sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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