Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.3 -2.9%
- Euro/Yen Carry Return Index 122.54 +.68%
- Emerging Markets Currency Volatility(VXY) 10.6 -3.7%
- S&P 500 Implied Correlation 61.5 -6.0%
- ISE Sentiment Index 89.0 -8.0 points
- Total Put/Call .76 -7.3%
- NYSE Arms .83 -41.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 82.29 -5.89%
- US Energy High-Yield OAS 1,052.0 -1.23%
- European Financial Sector CDS Index 85.65 -9.39%
- Italian/German 10Y Yld Spread 190.0 -10.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 104.14 -2.9%
- Emerging Market CDS Index 287.42 -7.59%
- iBoxx Offshore RMB China Corporate High Yield Index 165.65 -.02%
- 2-Year Swap Spread 9.0 -.5 basis point
- TED Spread 25.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.0 -.5 basis point
- MBS 5/10 Treasury Spread 113.0 +5.0 basis points
- IHS Markit CMBX BBB- 6 64.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.07 +.99%
- 3-Month T-Bill Yield .12% +1.0 basis point
- Yield Curve 49.0 +.5 basis point
- China Iron Ore Spot 91.72 USD/Metric Tonne -3.62%
- Citi US Economic Surprise Index -79.20 +2.0 points
- Citi Eurozone Economic Surprise Index -246.30 +5.3 points
- Citi Emerging Markets Economic Surprise Index 9.9 +11.0 points
- 10-Year TIPS Spread 1.14 +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 +79 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/consumer staple/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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