Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 37.3 +.3%
- Euro/Yen Carry Return Index 120.72 -.8%
- Emerging Markets Currency Volatility(VXY) 12.1 +2.1%
- S&P 500 Implied Correlation 76.49 -1.3%
- ISE Sentiment Index 77.0 +20.0 points
- Total Put/Call .99 -15.4%
- NYSE Arms 1.14 -40.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 90.26 +.53%
- US Energy High-Yield OAS 1,359.29 +.38%
- European Financial Sector CDS Index 108.42 +2.50%
- Italian/German 10Y Yld Spread 233.0 -2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 121.30 +3.1%
- Emerging Market CDS Index 348.15 -.42%
- iBoxx Offshore RMB China Corporate High Yield Index 163.64 +.02%
- 2-Year Swap Spread 13.0 unch.
- TED Spread 44.25 -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 4.0 -2.0 basis points
- MBS 5/10 Treasury Spread 109.0 +4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.21 -.17%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 44.0 +1.0 basis point
- China Iron Ore Spot 80.31 USD/Metric Tonne +.23%
- Citi US Economic Surprise Index -140.10 -12.1 points
- Citi Eurozone Economic Surprise Index -267.40 -.4 point
- Citi Emerging Markets Economic Surprise Index 9.90 +.9 point
- 10-Year TIPS Spread 1.08 +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 -260 open in Japan
- China A50 Futures: Indicating -660 open in China
- DAX Futures: Indicating +58 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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