Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.9 -.4%
- Euro/Yen Carry Return Index 126.91 -.25%
- Emerging Markets Currency Volatility(VXY) 8.41 +.48%
- S&P 500 Implied Correlation 38.87 -2.19%
- ISE Sentiment Index 79.0 -10.2%
- Total Put/Call .87 -9.38%
- NYSE Arms .89 -30.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.59 -1.26%
- America Energy Sector High-Yield CDS Index 628.0 +1.77%
- European Financial Sector CDS Index 78.79 -.32%
- Italian/German 10Y Yld Spread 259.75 -7.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 72.56 +.42%
- Emerging Market CDS Index 191.16 -.79%
- iBoxx Offshore RMB China Corporate High Yield Index 163.58 -.02%
- 2-Year Swap Spread 2.75 -2.25 basis pionts
- TED Spread 25.0 +5.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.58 -.07%
- 3-Month T-Bill Yield 2.18% -4.0 basis points
- Yield Curve 26.25 +2.25 basis points
- China Iron Ore Spot 106.20 USD/Metric Tonne +2.17%
- Citi US Economic Surprise Index -59.70 -7.5 points
- Citi Eurozone Economic Surprise Index -20.4 +5.1 points
- Citi Emerging Markets Economic Surprise Index -23.70 +4.3 points
- 10-Year TIPS Spread 1.69 -2.0 basis points
- 87.0% chance of Fed rate cut at July 31st meeting, 97.8% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -52 open in Japan
- China A50 Futures: Indicating -60 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/biotech/retail/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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