Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 28.7 +2.6%
- Euro/Yen Carry Return Index 122.30 -.10%
- Emerging Markets Currency Volatility(VXY) 10.75 -1.2%
- S&P 500 Implied Correlation 65.15 +4.7%
- ISE Sentiment Index 68.0 -32.0 points
- Total Put/Call .80 -1.2%
- NYSE Arms 1.01 -6.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 85.90 +1.1%
- US Energy High-Yield OAS 1,083.58 -.54%
- European Financial Sector CDS Index 94.35 +.86%
- Italian/German 10Y Yld Spread 211.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 106.41 -3.71%
- Emerging Market CDS Index 302.37 -1.65%
- iBoxx Offshore RMB China Corporate High Yield Index 166.71 +.41%
- 2-Year Swap Spread 8.75 -.25 basis point
- TED Spread 26.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.0 -.5 basis point
- MBS 5/10 Treasury Spread 106.0 +5.0 basis points
- IHS Markit CMBX BBB- 6 64.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.56 +.51%
- 3-Month T-Bill Yield .11% -1.0 basis point
- Yield Curve 49.0 -3.0 basis points
- China Iron Ore Spot 95.14 USD/Metric Tonne +1.69%
- Citi US Economic Surprise Index -81.50 +8.8 points
- Citi Eurozone Economic Surprise Index -252.10 +43.1 points
- Citi Emerging Markets Economic Surprise Index -.3 -2.2 points
- 10-Year TIPS Spread 1.13 -3.0 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 -37 open in Japan
- China A50 Futures: Indicating -117 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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