Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.2 -3.5%
- Euro/Yen Carry Return Index 125.86 +1.35%
- Emerging Markets Currency Volatility(VXY) 10.36 -3.5%
- S&P 500 Implied Correlation 61.20 -1.6%
- ISE Sentiment Index 124.0 +15.0 points
- Total Put/Call .76 -8.4%
- NYSE Arms .76 -1.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.88 -3.58%
- US Energy High-Yield OAS 999.84 -1.68%
- European Financial Sector CDS Index 78.51 -3.32%
- Italian/German 10Y Yld Spread 191.75 +2.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 98.21 -2.86%
- Emerging Market CDS Index 258.22 -7.8%
- iBoxx Offshore RMB China Corporate High Yield Index 166.50 +.11%
- 2-Year Swap Spread 8.25 -.75 basis point
- TED Spread 21.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 -2.25 basis points
- MBS 5/10 Treasury Spread 114.0 unch.
- IHS Markit CMBX BBB- 6 66.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.14 +1.13%
- 3-Month T-Bill Yield .14% +1.0 basis point
- Yield Curve 49.0 -1.0 basis point
- China Iron Ore Spot 96.33 USD/Metric Tonne +1.12%
- Citi US Economic Surprise Index -53.90 +.8 point
- Citi Eurozone Economic Surprise Index -262.10 +3.6 points
- Citi Emerging Markets Economic Surprise Index 29.6 +1.1 points
- 10-Year TIPS Spread 1.16 -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 +325 open in Japan
- China A50 Futures: Indicating -37 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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