Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 26.8 +3.8%
- Euro/Yen Carry Return Index 126.68 -.25%
- Emerging Markets Currency Volatility(VXY) 9.56 +1.27%
- S&P 500 Implied Correlation 60.05 +4.25%
- ISE Sentiment Index 148.0 +18.0 points
- Total Put/Call .66 +10.0%
- NYSE Arms 2.22 +384.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.74 +6.73%
- US Energy High-Yield OAS 878.27 +1.15%
- European Financial Sector CDS Index 75.60 +8.67%
- Italian/German 10Y Yld Spread 181.0 +8.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 83.76 +2.42%
- Emerging Market CDS Index 235.06 +4.94%
- iBoxx Offshore RMB China Corporate High Yield Index 169.52 +.19%
- 2-Year Swap Spread 8.75 +1.0 basis point
- TED Spread 15.25 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.5 -.5 basis point
- MBS 5/10 Treasury Spread 107.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 75.25 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.81 -.30%
- 3-Month T-Bill Yield .16% unch.
- Yield Curve 62.25 -3.75 basis points
- China Iron Ore Spot 100.75 USD/Metric Tonne -.32%
- Citi US Economic Surprise Index 69.60 -.1 point
- Citi Eurozone Economic Surprise Index -214.20 -.4 point
- Citi Emerging Markets Economic Surprise Index 41.5 -.2 point
- 10-Year TIPS Spread 1.26 -1.0 basis point
- 85.0% chance of no change at July 29th meeting, 85.9% chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -206 open in Japan
- China A50 Futures: Indicating -138 open in China
- DAX Futures: Indicating +14 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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