Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 32.2 -1.2%
- Euro/Yen Carry Return Index 120.32 +.13%
- Emerging Markets Currency Volatility(VXY) 11.48 -1.71%
- S&P 500 Implied Correlation 67.93 +.52%
- ISE Sentiment Index 111.0 +55.0 points
- Total Put/Call .79 -16.8%
- NYSE Arms .96 +88.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 95.66 -.05%
- US Energy High-Yield OAS 1,289.28 +1.1%
- European Financial Sector CDS Index 110.19 +.88%
- Italian/German 10Y Yld Spread 239.50 +3.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 119.13 -.97%
- Emerging Market CDS Index 341.98 +.42%
- iBoxx Offshore RMB China Corporate High Yield Index 164.58 +.08%
- 2-Year Swap Spread 9.75 -1.0 basis point
- TED Spread 28.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.5 +.5 basis point
- MBS 5/10 Treasury Spread 107.0 unch.
- IHS Markit CMBX BBB- 6 62.5 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.13 -.08%
- 3-Month T-Bill Yield .11% unch.
- Yield Curve 47.25 -1.0 basis point
- China Iron Ore Spot 90.40 USD/Metric Tonne +4.12%
- Citi US Economic Surprise Index -95.30 -25.6 points
- Citi Eurozone Economic Surprise Index -300.60 +.6 point
- Citi Emerging Markets Economic Surprise Index 5.6 +5.0 points
- 10-Year TIPS Spread 1.09 +4.0 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 +23 open in Japan
- China A50 Futures: Indicating -148 open in China
- DAX Futures: Indicating +39 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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