Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 28.9 -2.1%
- Euro/Yen Carry Return Index 121.57 -.5%
- Emerging Markets Currency Volatility(VXY) 10.95 +2.8%
- S&P 500 Implied Correlation 65.4 -1.8%
- ISE Sentiment Index 97.0 +29.0 points
- Total Put/Call .85 unch.
- NYSE Arms 1.27 +10.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 86.95 +1.6%
- US Energy High-Yield OAS 1,065.41 -1.71%
- European Financial Sector CDS Index 94.61 +.28%
- Italian/German 10Y Yld Spread 208.50 -2.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 107.43 +.86%
- Emerging Market CDS Index 311.01 +2.28%
- iBoxx Offshore RMB China Corporate High Yield Index 166.77 +.04%
- 2-Year Swap Spread 9.5 +.75 basis point
- TED Spread 24.75 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.50 +.5 basis point
- MBS 5/10 Treasury Spread 108.0 +2.0 basis points
- IHS Markit CMBX BBB- 6 63.50 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.35 -.36%
- 3-Month T-Bill Yield .11% unch.
- Yield Curve 48.5 -.5 basis point
- China Iron Ore Spot 94.52 USD/Metric Tonne -.31%
- Citi US Economic Surprise Index -81.20 +.3 point
- Citi Eurozone Economic Surprise Index -251.60 +.5 point
- Citi Emerging Markets Economic Surprise Index -1.10 -.8 point
- 10-Year TIPS Spread 1.11 -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 +157 open in Japan
- China A50 Futures: Indicating +29 open in China
- DAX Futures: Indicating +40 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/consumer staple sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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