Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.0 -.8%
- Euro/Yen Carry Return Index 136.15 -.12%
- Emerging Markets Currency Volatility(VXY) 8.95 -1.9%
- S&P 500 Implied Correlation 34.15 -.99%
- ISE Sentiment Index 117.0 -1.68%
- Total Put/Call .77 -6.1%
- NYSE Arms .69 -29.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.33 -.83%
- America Energy Sector High-Yield CDS Index 349.0 -1.31%
- European Financial Sector CDS Index 67.78 -.21%
- Italian/German 10Y Yld Spread 176.75 -10.0 basis points
- Asia Pacific Sovereign Debt CDS Index 12.38 -.80%
- Emerging Market CDS Index 161.29 -2.94%
- iBoxx Offshore RMB China Corporate High Yield Index 149.54 +.02%
- 2-Year Swap Spread 23.5 +.25 basis point
- TED Spread 40.25 -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.75 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.37 +.29%
- 3-Month T-Bill Yield 1.93% +3.0 basis points
- Yield Curve 49.75 -.75 basis point
- China Iron Ore Spot 64.35 USD/Metric Tonne +.36%
- Citi US Economic Surprise Index 10.90 -.4 point
- Citi Eurozone Economic Surprise Index -79.80 +1.6 points
- Citi Emerging Markets Economic Surprise Index -5.60 -.1 point
- 10-Year TIPS Spread 2.18 +1.0 basis point
- 100.0% chance of Fed rate hike at August 1 meeting, 100.0% chance at September 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +20 open in Japan
- China A50 Futures: Indicating +19 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/industrial/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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