Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.28 +8.67%
- Euro/Yen Carry Return Index 129.81 +.31%
- Emerging Markets Currency Volatility(VXY) 8.31 +2.09%
- S&P 500 Implied Correlation 41.86 +2.67%
- ISE Sentiment Index 71.0 +4.41%
- Total Put/Call 1.0 +8.70%
- NYSE Arms 1.58 +53.98%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.21 -.01%
- America Energy Sector High-Yield CDS Index 372.0 +1.91%
- European Financial Sector CDS Index 69.68 +1.35%
- Western Europe Sovereign Debt CDS Index 8.16 -8.78%
- Asia Pacific Sovereign Debt CDS Index 19.66 +2.05%
- Emerging Market CDS Index 195.23 +.85%
- iBoxx Offshore RMB China Corporate High Yield Index 138.56 -.06%
- 2-Year Swap Spread 23.25 +.25 basis point
- TED Spread 23.25 -4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -34.50 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.14 +.28%
- 3-Month T-Bill Yield .97% +5.0 basis points
- Yield Curve 92.0 -1.0 basis point
- China Import Iron Ore Spot $57.02/Metric Tonne -2.53%
- Citi US Economic Surprise Index -38.20 -.7 point
- Citi Eurozone Economic Surprise Index 40.60 -8.3 points
- Citi Emerging Markets Economic Surprise Index 7.40 -8.2 points
- 10-Year TIPS Spread 1.83 -1.0 basis point
- 92.3% chance of Fed rate hike at July 26 meeting, 94.4% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +10 open in Japan
- China A50 Futures: Indicating -40 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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