Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.0 -.81%
- Euro/Yen Carry Return Index 126.95 +.43%
- Emerging Markets Currency Volatility(VXY) 8.69 +.12%
- S&P 500 Implied Correlation 39.1 -1.21%
- ISE Sentiment Index 52.0 -30.7%
- Total Put/Call .89 -11.9%
- NYSE Arms .80 -41.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.61 -1.46%
- America Energy Sector High-Yield CDS Index 625.0 +1.86%
- European Financial Sector CDS Index 83.78 +2.05%
- Italian/German 10Y Yld Spread 272.75 +3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 76.08 -2.71%
- Emerging Market CDS Index 200.87 -.74%
- iBoxx Offshore RMB China Corporate High Yield Index 163.42 +.1%
- 2-Year Swap Spread 5.25 +.5 basis point
- TED Spread 14.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.48 +.03%
- 3-Month T-Bill Yield 2.31% -3.0 basis points
- Yield Curve 24.5 -3.5 basis points
- China Iron Ore Spot 94.99 USD/Metric Tonne -.44%
- Citi US Economic Surprise Index -47.30 -.5 point
- Citi Eurozone Economic Surprise Index -18.60 +1.2 points
- Citi Emerging Markets Economic Surprise Index -31.20 -.3 point
- 10-Year TIPS Spread 1.75 -2.0 basis point
- 67.3% chance of Fed rate cut at July 31st meeting, 92.7% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +56 open in Japan
- China A50 Futures: Indicating -25 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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