Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Advancing
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.46 +1.18%
- Euro/Yen Carry Return Index 126.55 +.11%
- Emerging Markets Currency Volatility(VXY) 8.37 -.71%
- S&P 500 Implied Correlation 38.57 +2.23%
- ISE Sentiment Index 122.0 +34.1%
- Total Put/Call .93 -2.11%
- NYSE Arms .87 -17.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.66 -.91%
- America Energy Sector High-Yield CDS Index 633.0 +.86%
- European Financial Sector CDS Index 76.42 -2.92%
- Italian/German 10Y Yld Spread 254.25 -6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 73.31 +.6%
- Emerging Market CDS Index 192.67 -.46%
- iBoxx Offshore RMB China Corporate High Yield Index 163.68 +.04%
- 2-Year Swap Spread 2.50 +.5 basis piont
- TED Spread 24.75 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.33 -.02%
- 3-Month T-Bill Yield 2.18% -1.0 basis point
- Yield Curve 22.25 -2.25 basis points
- China Iron Ore Spot 101.76 USD/Metric Tonne -1.06%
- Citi US Economic Surprise Index -63.20 -7.8 points
- Citi Eurozone Economic Surprise Index -14.7 +4.7 points
- Citi Emerging Markets Economic Surprise Index -29.50 -2.0 points
- 10-Year TIPS Spread 1.61 -3.0 basis points
- 83.3% chance of Fed rate cut at July 31st meeting, 95.7% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -19 open in Japan
- China A50 Futures: Indicating -48 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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