Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.5 +7.3%
- Euro/Yen Carry Return Index 134.80 -.2%
- Emerging Markets Currency Volatility(VXY) 9.40 +2.29%
- S&P 500 Implied Correlation 34.1 +5.4%
- ISE Sentiment Index 88.0 -31.3%
- Total Put/Call .92 +13.6%
- NYSE Arms 1.07 +54.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.45 +4.2%
- America Energy Sector High-Yield CDS Index 374.0 +.95%
- European Financial Sector CDS Index 86.64 +5.24%
- Italian/German 10Y Yld Spread 257.75 +10.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.86 -.85%
- Emerging Market CDS Index 176.87 +3.19%
- iBoxx Offshore RMB China Corporate High Yield Index 149.57 -.09%
- 2-Year Swap Spread 27.50 +.5 basis point
- TED Spread 38.25 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.50 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.89 -.38%
- 3-Month T-Bill Yield 1.92% -2.0 basis points
- Yield Curve 43.75 -1.75 basis points
- China Iron Ore Spot 65.02 USD/Metric Tonne -.55%
- Citi US Economic Surprise Index 10.50 -.5 point
- Citi Eurozone Economic Surprise Index -95.50 -7.6 points
- Citi Emerging Markets Economic Surprise Index -15.80 unch.
- 10-Year TIPS Spread 2.14 -2.0 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 -128 open in Japan
- China A50 Futures: Indicating -109 open in China
- DAX Futures: Indicating -93 open in Germany
Portfolio:
- Lower: On losses in my tech/medical/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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