Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.16 -8.74%
- Euro/Yen Carry Return Index 129.22 -.16%
- Emerging Markets Currency Volatility(VXY) 7.87 -1.13%
- S&P 500 Implied Correlation 35.34 -4.4%
- ISE Sentiment Index 92.0 -8.91%
- Total Put/Call .75 -19.4%
- NYSE Arms .94 -7.84%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.71 -2.1%
- America Energy Sector High-Yield CDS Index 456.0 +.44%
- European Financial Sector CDS Index 69.62 -1.32%
- Italian/German 10Y Yld Spread 253.5 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.85 +.59%
- Emerging Market CDS Index 187.56 -3.99%
- iBoxx Offshore RMB China Corporate High Yield Index 162.21 +.04%
- 2-Year Swap Spread 11.0 -1.25 basis points
- TED Spread 15.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -20.25 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.53 +.36%
- 3-Month T-Bill Yield 2.42% unch.
- Yield Curve 19.50 -.5 basis point
- China Iron Ore Spot 94.0 USD/Metric Tonne -.22%
- Citi US Economic Surprise Index -52.10 +3.0 points
- Citi Eurozone Economic Surprise Index -22.40 +10.5 points
- Citi Emerging Markets Economic Surprise Index -10.40 -.8 point
- 10-Year TIPS Spread 1.91 -4.0 basis points
- 10.9% chance of Fed rate cut at July 31st meeting, 25.5% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +226 open in Japan
- China A50 Futures: Indicating +90 open in China
- DAX Futures: Indicating +42 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/medical/industrial/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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