Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.57 +2.6%
- Euro/Yen Carry Return Index 127.39 +.34%
- Emerging Markets Currency Volatility(VXY) 8.70 +.69%
- S&P 500 Implied Correlation 39.1 +2.3%
- ISE Sentiment Index 108.0 +89.5%
- Total Put/Call .73 -14.1%
- NYSE Arms 1.24 +44.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.87 -.83%
- America Energy Sector High-Yield CDS Index 621.0 -.64%
- European Financial Sector CDS Index 79.79 -4.76%
- Italian/German 10Y Yld Spread 261.25 -11.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 75.03 -1.43%
- Emerging Market CDS Index 197.85 -1.33%
- iBoxx Offshore RMB China Corporate High Yield Index 163.45 +.02%
- 2-Year Swap Spread 6.75 +1.5 basis points
- TED Spread 17.75 +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.61 +.22%
- 3-Month T-Bill Yield 2.26% -5.0 basis points
- Yield Curve 23.5 -1.0 basis point
- China Iron Ore Spot 95.25 USD/Metric Tonne -.26%
- Citi US Economic Surprise Index -56.40 -9.1 points
- Citi Eurozone Economic Surprise Index -25.2 -6.6 points
- Citi Emerging Markets Economic Surprise Index -31.20 unch.
- 10-Year TIPS Spread 1.75 unch.
- 86.4% chance of Fed rate cut at July 31st meeting, 96.3% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +171 open in Japan
- China A50 Futures: Indicating +110 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech/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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