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) 18.9 +7.9%
- Euro/Yen Carry Return Index 126.4 -.32%
- Emerging Markets Currency Volatility(VXY) 8.36 unch.
- S&P 500 Implied Correlation 44.3 +2.2%
- ISE Sentiment Index 58.0 -19.4%
- Total Put/Call 1.30 +21.7%
- NYSE Arms 1.65 +1.85%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.42 +3.32%
- America Energy Sector High-Yield CDS Index 581.0 +2.33%
- European Financial Sector CDS Index 91.30 +2.2%
- Italian/German 10Y Yld Spread 282.0 -2.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 77.32 +3.67%
- Emerging Market CDS Index 212.45 +1.83%
- iBoxx Offshore RMB China Corporate High Yield Index 163.17 +.02%
- 2-Year Swap Spread 4.5 +1.25 basis points
- TED Spread 19.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -16.75 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.53 -.12%
- 3-Month T-Bill Yield 2.34% unch.
- Yield Curve 15.5 +1.75 basis points
- China Iron Ore Spot 101.2 USD/Metric Tonne -.88%
- Citi US Economic Surprise Index -33.1 +1.9 points
- Citi Eurozone Economic Surprise Index -20.20 -5.8 points
- Citi Emerging Markets Economic Surprise Index -24.10 +.1 point
- 10-Year TIPS Spread 1.73 -1.0 basis point
- 30.1% chance of Fed rate cut at July 31st meeting, 64.1% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -223 open in Japan
- China A50 Futures: Indicating -84 open in China
- DAX Futures: Indicating -18 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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