Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 31.3 -8.3%
- Euro/Yen Carry Return Index 119.24 +.44%
- Emerging Markets Currency Volatility(VXY) 12.2 +1.16%
- S&P 500 Implied Correlation 71.77 -5.78%
- ISE Sentiment Index 115.0 +9.0 points
- Total Put/Call .81 -5.81%
- NYSE Arms 1.07 -37.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 91.66 -1.12%
- US Energy High-Yield OAS 1,283.44 -.01%
- European Financial Sector CDS Index 106.79 +.32%
- Italian/German 10Y Yld Spread 246.5 -1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 120.17 -.15%
- Emerging Market CDS Index 342.87 -1.78%
- iBoxx Offshore RMB China Corporate High Yield Index 163.98 +.13%
- 2-Year Swap Spread 11.5 -.25 basis point
- TED Spread 37.25 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 -.25 basis point
- MBS 5/10 Treasury Spread 117.0 +10.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.0 +.32%
- 3-Month T-Bill Yield .10% -1.0 basis point
- Yield Curve 51.75 +7.75 basis points
- China Iron Ore Spot 84.08 USD/Metric Tonne +3.4%
- Citi US Economic Surprise Index -104.30 -2.7 points
- Citi Eurozone Economic Surprise Index -293.40 -18.1 points
- Citi Emerging Markets Economic Surprise Index 10.90 +.3 point
- 10-Year TIPS Spread 1.08 -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 +116 open in Japan
- China A50 Futures: Indicating -125 open in China
- DAX Futures: Indicating -51 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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