Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.0 +29.2%
- Euro/Yen Carry Return Index 130.17 -1.73%
- Emerging Markets Currency Volatility(VXY) 9.34 +2.75%
- S&P 500 Implied Correlation 39.72 +10.1%
- ISE Sentiment Index 127.0 -1.55%
- Total Put/Call .1.08 +20.0%
- NYSE Arms 1.93 +33.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.60 +6.52%
- America Energy Sector High-Yield CDS Index 377.0 +1.58%
- European Financial Sector CDS Index 90.67 +19.1%
- Italian/German 10Y Yld Spread 290.5 +85.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.39 +2.75%
- Emerging Market CDS Index 167.78 +4.12%
- iBoxx Offshore RMB China Corporate High Yield Index 150.07 +.15%
- 2-Year Swap Spread 24.0 +1.5 basis points
- TED Spread 43.0-.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -19.25 -3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.65 -.61%
- 3-Month T-Bill Yield 1.88% -1.0 basis point
- Yield Curve 44.0 -1.25 basis points
- China Iron Ore Spot 64.34 USD/Metric Tonne -1.27%
- Citi US Economic Surprise Index 11.20 -.8 point
- Citi Eurozone Economic Surprise Index -93.10 +3.5 points
- Citi Emerging Markets Economic Surprise Index -10.0 -3.0 points
- 10-Year TIPS Spread 2.06 -5.0 basis points
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -383 open in Japan
- China A50 Futures: Indicating -113 open in China
- DAX Futures: Indicating -76 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech/medical/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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