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) 14.9 -9.0%
- Euro/Yen Carry Return Index 128.20 +.04%
- Emerging Markets Currency Volatility(VXY) 8.97 -.77%
- S&P 500 Implied Correlation 37.75 -3.92%
- ISE Sentiment Index 127.0 +69.3%
- Total Put/Call .95 +13.1%
- NYSE Arms .77 -8.33%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.79 -2.0%
- America Energy Sector High-Yield CDS Index 536.0 +2.10%
- European Financial Sector CDS Index 81.97 -1.4%
- Italian/German 10Y Yld Spread 270.75 -8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.20 -.75%
- Emerging Market CDS Index 200.31 -1.73%
- iBoxx Offshore RMB China Corporate High Yield Index 162.92 +.02%
- 2-Year Swap Spread 5.25 -1.0 basis point
- TED Spread 17.25 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -17.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.75 +.01%
- 3-Month T-Bill Yield 2.37% unch.
- Yield Curve 17.0 -2.5 basis points
- China Iron Ore Spot 96.28 USD/Metric Tonne +.12%
- Citi US Economic Surprise Index -29.70 +.2 point
- Citi Eurozone Economic Surprise Index -16.80 -1.1 points
- Citi Emerging Markets Economic Surprise Index -33.10 unch.
- 10-Year TIPS Spread 1.84 -2.0 basis points
- 14.8% chance of Fed rate cut at July 31st meeting, 36.3% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +113 open in Japan
- China A50 Futures: Indicating -124 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/retail/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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