Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 28.4 +3.2%
- Euro/Yen Carry Return Index 124.15 +.03%
- Emerging Markets Currency Volatility(VXY) 10.77 -.65%
- S&P 500 Implied Correlation 62.3 +2.8%
- ISE Sentiment Index 109.0 +10.0 points
- Total Put/Call .80 -13.0%
- NYSE Arms .79 -53.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.4 +.81%
- US Energy High-Yield OAS 1,021.43 -.51%
- European Financial Sector CDS Index 81.19 -4.67%
- Italian/German 10Y Yld Spread 189.0 -3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 101.21 -.23%
- Emerging Market CDS Index 279.97 -3.17%
- iBoxx Offshore RMB China Corporate High Yield Index 166.32 +.25%
- 2-Year Swap Spread 9.0 -.25 basis point
- TED Spread 22.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.5 +.25 basis point
- MBS 5/10 Treasury Spread 114.0 -2.0 basis points
- IHS Markit CMBX BBB- 6 66.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.43 +.46%
- 3-Month T-Bill Yield .13% unch.
- Yield Curve 50.0 -.5 basis point
- China Iron Ore Spot 95.40 USD/Metric Tonne -1.92%
- Citi US Economic Surprise Index -54.70 +.4 point
- Citi Eurozone Economic Surprise Index -265.70 +9.1 points
- Citi Emerging Markets Economic Surprise Index 28.5 +8.9 points
- 10-Year TIPS Spread 1.18 +1.0 basis point
- 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 +128 open in Japan
- China A50 Futures: Indicating -128 open in China
- DAX Futures: Indicating +303 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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