Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.5 -5.0%
- Euro/Yen Carry Return Index 126.89%
- Emerging Markets Currency Volatility(VXY) 10.07 -2.6%
- S&P 500 Implied Correlation 60.45 -.07%
- ISE Sentiment Index 115.0 -9.0 points
- Total Put/Call .68 -13.9%
- NYSE Arms .77 +.01%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.13 -5.29%
- US Energy High-Yield OAS 972.46 -2.11%
- European Financial Sector CDS Index 76.43 -1.93%
- Italian/German 10Y Yld Spread 190.75 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 92.61 -6.05%
- Emerging Market CDS Index 242.0 -5.73%
- iBoxx Offshore RMB China Corporate High Yield Index 169.0 +1.51%
- 2-Year Swap Spread 7.25 -1.0 basis point
- TED Spread 18.75 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 -.5 basis point
- MBS 5/10 Treasury Spread 113.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 66.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.50 +.58%
- 3-Month T-Bill Yield .15% +1.0 basis point
- Yield Curve 53.75 +4.75 basis points
- China Iron Ore Spot 97.50 USD/Metric Tonne +1.27%
- Citi US Economic Surprise Index 8.0 +61.9 points
- Citi Eurozone Economic Surprise Index -226.30 +35.8 points
- Citi Emerging Markets Economic Surprise Index 43.5 +13.9 points
- 10-Year TIPS Spread 1.20 +4.0 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 +309 open in Japan
- China A50 Futures: Indicating +71 open in China
- DAX Futures: Indicating +59 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech/medical/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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