Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 32.5 -9.7%
- Euro/Yen Carry Return Index 119.83 -.7%
- Emerging Markets Currency Volatility(VXY) 11.91 -.58%
- S&P 500 Implied Correlation 72.1 -2.7%
- ISE Sentiment Index 81.0 +4.0 points
- Total Put/Call .90 -6.3%
- NYSE Arms 1.50 +37.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 88.60 -2.26%
- US Energy High-Yield OAS 1,313.05 -2.94%
- European Financial Sector CDS Index 104.22 -3.88%
- Italian/German 10Y Yld Spread 244.5 +11.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 119.36 -.02%
- Emerging Market CDS Index 335.33 -3.27%
- iBoxx Offshore RMB China Corporate High Yield Index 163.61 +.04%
- 2-Year Swap Spread 12.75 -.25 basis point
- TED Spread 43.25 -1.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap 1.25 -2.75 basis points
- MBS 5/10 Treasury Spread 109.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.38 +.25%
- 3-Month T-Bill Yield .10%+1.0 basis point
- Yield Curve 44.0 unch.
- China Iron Ore Spot 80.65 USD/Metric Tonne +.19%
- Citi US Economic Surprise Index -130.80 +9.7 points
- Citi Eurozone Economic Surprise Index -264.20 +3.2 points
- Citi Emerging Markets Economic Surprise Index 11.20 +1.3 points
- 10-Year TIPS Spread 1.10 +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 +96 open in Japan
- China A50 Futures: Indicating -453 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical/industrial/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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