Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.5 -5.0%
- Euro/Yen Carry Return Index 128.32 +.05%
- Emerging Markets Currency Volatility(VXY) 9.50 -3.0%
- S&P 500 Implied Correlation 58.2 -4.2%
- ISE Sentiment Index 145.0 +56.0 points
- Total Put/Call .62 -16.2%
- NYSE Arms .63 +12.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.53 -9.8%
- US Energy High-Yield OAS 924.17 -2.76%
- European Financial Sector CDS Index 67.2 -9.1%
- Italian/German 10Y Yld Spread 169.0 -5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 86.0 -6.3%
- Emerging Market CDS Index 223.40 -7.91%
- iBoxx Offshore RMB China Corporate High Yield Index 169.12 +.08%
- 2-Year Swap Spread 9.0 +1.25 basis points
- TED Spread 17.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -.75 basis point
- MBS 5/10 Treasury Spread 109.0 -4.0 basis points
- IHS Markit CMBX BBB- 6 69.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.80 +.53%
- 3-Month T-Bill Yield .15% +1.0 basis point
- Yield Curve 62.75 +7.5 basis points
- China Iron Ore Spot 99.0 USD/Metric Tonne +1.55%
- Citi US Economic Surprise Index 66.30 +58.0 points
- Citi Eurozone Economic Surprise Index -215.20 -5.4 points
- Citi Emerging Markets Economic Surprise Index 41.4 -1.0 point
- 10-Year TIPS Spread 1.26 +6.0 basis points
- 92.1% chance of no change at July 29th meeting, 92.1% chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +257 open in Japan
- China A50 Futures: Indicating -18 open in China
- DAX Futures: Indicating -45 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/industrial/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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