Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.80 -1.9%
- Euro/Yen Carry Return Index 129.72 -.87%
- Emerging Markets Currency Volatility(VXY) 8.08 -1.58%
- S&P 500 Implied Correlation 39.66 +2.91%
- ISE Sentiment Index 128.0 +50.59%
- Total Put/Call .90 +7.14%
- NYSE Arms .87 -37.87%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.61 +.21%
- America Energy Sector High-Yield CDS Index 370.0 +2.65%
- European Financial Sector CDS Index 66.63 +.58%
- Western Europe Sovereign Debt CDS Index 8.68 +6.7%
- Asia Pacific Sovereign Debt CDS Index 19.38 +.08%
- Emerging Market CDS Index 192.10 -1.16%
- iBoxx Offshore RMB China Corporate High Yield Index 138.59 +.05%
- 2-Year Swap Spread 23.50 -.5 basis point
- TED Spread 27.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -35.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.10 +.03%
- 3-Month T-Bill Yield .92% unch.
- Yield Curve 95.0 -1.0 basis point
- China Import Iron Ore Spot $57.91/Metric Tonne -3.87%
- Citi US Economic Surprise Index -36.20 +1.8 point
- Citi Eurozone Economic Surprise Index 56.0 -4.3 points
- Citi Emerging Markets Economic Surprise Index 19.70 -.1 point
- 10-Year TIPS Spread 1.83 +1.0 basis point
- 93.4% chance of Fed rate hike at July 26 meeting, 95.5% chance at Sept. 20 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -6 open in Japan
- China A50 Futures: Indicating -7 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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