Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.72 +7.08%
- Euro/Yen Carry Return Index 127.99 -.20%
- Emerging Markets Currency Volatility(VXY) 10.61 +1.43%
- S&P 500 Implied Correlation 57.04 +4.60%
- ISE Sentiment Index 54.0 -29.87%
- Total Put/Call 1.12 +6.7%
- NYSE Arms 1.87 +40.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.56 +4.75%
- America Energy Sector High-Yield CDS Index 1,075.0 -.08%
- European Financial Sector CDS Index 95.40 +6.03%
- Western Europe Sovereign Debt CDS Index 25.66 +2.35%
- Asia Pacific Sovereign Debt CDS Index 54.80 +.75%
- Emerging Market CDS Index 290.57 +2.96%
- iBoxx Offshore RMB China Corporate High Yield Index 127.03 unch.
- 2-Year Swap Spread 14.25 unch.
- TED Spread 42.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.73 -1.12%
- 3-Month T-Bill Yield .20% +1.0 basis points
- Yield Curve 104.0 -3.0 basis points
- China Import Iron Ore Spot $63.41/Metric Tonne -4.27%
- Citi US Economic Surprise Index -31.40 +.3 point
- Citi Eurozone Economic Surprise Index -10.30 +.5 point
- Citi Emerging Markets Economic Surprise Index 12.60 +1.9 points
- 10-Year TIPS Spread 1.65% -4.0 basis points
- 24.3% chance of Fed rate hike at July 27 meeting, 37.9% chance at September 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +38 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/tech/medical/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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