Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 32.8 -2.5%
- Euro/Yen Carry Return Index 118.81 -.74%
- Emerging Markets Currency Volatility(VXY) 12.12 +2.11%
- S&P 500 Implied Correlation 73.90 +.3%
- ISE Sentiment Index 106.0 +26.0 points
- Total Put/Call .85 -3.4%
- NYSE Arms 1.33 -16.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 91.47 +1.72%
- US Energy High-Yield OAS 1,279.36 -1.0%
- European Financial Sector CDS Index 106.31 +2.01%
- Italian/German 10Y Yld Spread 248.25 +3.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 120.69 +2.01%
- Emerging Market CDS Index 344.28 +1.4%
- iBoxx Offshore RMB China Corporate High Yield Index 163.77 +.09%
- 2-Year Swap Spread 11.75 -1.0 basis point
- TED Spread 39.25 -4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -6.75 basis points
- MBS 5/10 Treasury Spread 107.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 57.91 -.72%
- 3-Month T-Bill Yield .11% +1.0 basis point
- Yield Curve 44.0 unch.
- China Iron Ore Spot 81.10 USD/Metric Tonne +.12%
- Citi US Economic Surprise Index -101.60 +29.2 points
- Citi Eurozone Economic Surprise Index -275.30 -11.1 points
- Citi Emerging Markets Economic Surprise Index 10.60 -.6 point
- 10-Year TIPS Spread 1.10 unch.
- 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 -144 open in Japan
- China A50 Futures: Indicating -219 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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