Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.1 +7.0%
- Euro/Yen Carry Return Index 127.61 +.04%
- Emerging Markets Currency Volatility(VXY) 9.05 -1.2%
- S&P 500 Implied Correlation 40.0 +3.2%
- ISE Sentiment Index 70.0 -13.8%
- Total Put/Call .85 -22.0%
- NYSE Arms .84 -15.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.32 +1.92%
- America Energy Sector High-Yield CDS Index 525.0 +.57%
- European Financial Sector CDS Index 83.13 +2.1%
- Italian/German 10Y Yld Spread 278.75 +2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 72.10 +1.45%
- Emerging Market CDS Index 205.55 -.43%
- iBoxx Offshore RMB China Corporate High Yield Index 162.89 +.03%
- 2-Year Swap Spread 6.25 -.5 basis point
- TED Spread 15.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25+.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.71 +.03%
- 3-Month T-Bill Yield 2.37% -1.0 basis point
- Yield Curve 19.5 +.25 basis point
- China Iron Ore Spot 98.40 USD/Metric Tonne +.32%
- Citi US Economic Surprise Index -29.90 +1.2 points
- Citi Eurozone Economic Surprise Index -15.70 -1.1 points
- Citi Emerging Markets Economic Surprise Index -33.10 -.2 point
- 10-Year TIPS Spread 1.82 -1.0 basis point
- 19.4% chance of Fed rate cut at July 31st meeting, 44.6% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -171 open in Japan
- China A50 Futures: Indicating -174 open in China
- DAX Futures: Indicating -25 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech 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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