Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 35.9 +8.8%
- Euro/Yen Carry Return Index 120.09 -.38%
- Emerging Markets Currency Volatility(VXY) 11.74 +.17%
- S&P 500 Implied Correlation 76.90 +12.3%
- ISE Sentiment Index 72.0 -18.0 points
- Total Put/Call 1.19 +38.4%
- NYSE Arms 1.41 -6.62%
Credit Investor Angst:
- North American Investment Grade CDS Index 95.67 +3.44%
- US Energy High-Yield OAS 1,258.0 +.35%
- European Financial Sector CDS Index 105.77 +3.68%
- Italian/German 10Y Yld Spread 233.25 -6.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 118.11 +1.75%
- Emerging Market CDS Index 345.72 +5.58%
- iBoxx Offshore RMB China Corporate High Yield Index 164.58 +.07%
- 2-Year Swap Spread 10.25 +1.5 basis points
- TED Spread 31.75 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -3.0 basis points
- MBS 5/10 Treasury Spread 112.0 -2.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.0 -.27%
- 3-Month T-Bill Yield .10%-1.0 basis point
- Yield Curve 49.75 -2.5 basis points
- China Iron Ore Spot 88.10 USD/Metric Tonne -.08%
- Citi US Economic Surprise Index -61.10 -.4 point
- Citi Eurozone Economic Surprise Index -301.70 +2.0 points
- Citi Emerging Markets Economic Surprise Index 3.5 +5.5 points
- 10-Year TIPS Spread 1.07 -2.0 basis points
- 99.3% chance of no change at July 29th meeting, 99.3% chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -87 open in Japan
- China A50 Futures: Indicating -201 open in China
- DAX Futures: Indicating -79 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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