Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.67 -.95%
- Euro/Yen Carry Return Index 126.35 -.50%
- Emerging Markets Currency Volatility(VXY) 8.43 +.72%
- S&P 500 Implied Correlation 38.82 +.34%
- ISE Sentiment Index 83.0 -6.74%
- Total Put/Call 1.0 +12.4%
- NYSE Arms 1.19 +60.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.39 +1.02%
- America Energy Sector High-Yield CDS Index 628.0 -.43%
- European Financial Sector CDS Index 78.68 -.13%
- Italian/German 10Y Yld Spread 260.25 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 72.78 +.29%
- Emerging Market CDS Index 194.18 +1.46%
- iBoxx Offshore RMB China Corporate High Yield Index 163.61 +.02%
- 2-Year Swap Spread 2.0 -.75 basis piont
- TED Spread 27.0 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.36 -.32%
- 3-Month T-Bill Yield 2.17% -1.0 basis point
- Yield Curve 24.5 -1.75 basis points
- China Iron Ore Spot 102.65 USD/Metric Tonne -2.28%
- Citi US Economic Surprise Index -55.40 +4.3 points
- Citi Eurozone Economic Surprise Index -19.4 +1.0 point
- Citi Emerging Markets Economic Surprise Index -27.50 -3.8 points
- 10-Year TIPS Spread 1.64 -5.0 basis points
- 82.7% chance of Fed rate cut at July 31st meeting, 97.2% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -36 open in Japan
- China A50 Futures: Indicating -128 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly lower: On losses in my tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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