Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.4 +1.6%
- Euro/Yen Carry Return Index 134.98 +.6%
- Emerging Markets Currency Volatility(VXY) 9.62 +.31%
- S&P 500 Implied Correlation 34.08 +.47%
- ISE Sentiment Index 97.0 -.23%
- Total Put/Call .69 -26.60%
- NYSE Arms .69 +.76%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.66 -2.56%
- America Energy Sector High-Yield CDS Index 377.0 +.29%
- European Financial Sector CDS Index 83.58 -7.83%
- Italian/German 10Y Yld Spread 267.75 -33.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.97 -1.67%
- Emerging Market CDS Index 178.44 +1.09%
- iBoxx Offshore RMB China Corporate High Yield Index 149.74 -.03%
- 2-Year Swap Spread 27.25 unch.
- TED Spread 41.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.87 -.28%
- 3-Month T-Bill Yield 1.90% -2.0 basis points
- Yield Curve 43.0 -.25 basis point
- China Iron Ore Spot 65.35 USD/Metric Tonne -.20%
- Citi US Economic Surprise Index 9.20 -1.0 point
- Citi Eurozone Economic Surprise Index -98.0 +2.1 points
- Citi Emerging Markets Economic Surprise Index -16.20 -1.3 points
- 10-Year TIPS Spread 2.14 +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 +161 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating +43 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/industrial/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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