Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.9 -5.6%
- Euro/Yen Carry Return Index 127.28 -.03%
- Emerging Markets Currency Volatility(VXY) 8.51 -1.62%
- S&P 500 Implied Correlation 39.94 -1.53%
- ISE Sentiment Index 67.0 -2.9%
- Total Put/Call .94 -22.31%
- NYSE Arms 1.19 +5.31%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.97 +.45%
- America Energy Sector High-Yield CDS Index 564.0 +4.17%
- European Financial Sector CDS Index 87.11 -2.31%
- Italian/German 10Y Yld Spread 267.0 -8.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.20 +.46%
- Emerging Market CDS Index 207.07 -1.05%
- iBoxx Offshore RMB China Corporate High Yield Index 163.02 +.04%
- 2-Year Swap Spread 3.5 -1.0 basis points
- TED Spread 18.25 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -18.25 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.85 +.39%
- 3-Month T-Bill Yield 2.34% -1.0 basis point
- Yield Curve 15.75 -1.0 basis point
- China Iron Ore Spot 102.30 USD/Metric Tonne +1.36%
- Citi US Economic Surprise Index -40.10 -.2 point
- Citi Eurozone Economic Surprise Index -21.70 +.3 point
- Citi Emerging Markets Economic Surprise Index -27.30 +1.0 points
- 10-Year TIPS Spread 1.77 +2.0 basis points
- 17.6% chance of Fed rate cut at July 31st meeting, 47.3% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -12 open in Japan
- China A50 Futures: Indicating -100 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech/biotech sector longs
- 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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