Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.1 +2.1%
- Euro/Yen Carry Return Index 126.29 +.52%
- Emerging Markets Currency Volatility(VXY) 8.52 +.12%
- S&P 500 Implied Correlation 43.92 -1.39%
- ISE Sentiment Index 64.0 -9.86%
- Total Put/Call 1.16 -.85%
- NYSE Arms .68 -43.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.34 -.07%
- America Energy Sector High-Yield CDS Index 626.0 +4.0%
- European Financial Sector CDS Index 89.24 -2.65%
- Italian/German 10Y Yld Spread 276.0 -11.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 81.19 +3.41%
- Emerging Market CDS Index 210.17 -.76%
- iBoxx Offshore RMB China Corporate High Yield Index 163.34 +.07%
- 2-Year Swap Spread 5.0 unch.
- TED Spread 17.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.27 +.59%
- 3-Month T-Bill Yield 2.33% -1.0 basis point
- Yield Curve 23.25 +3.75 basis points
- China Iron Ore Spot 96.05 USD/Metric Tonne -.46%
- Citi US Economic Surprise Index -35.9 -3.6 points
- Citi Eurozone Economic Surprise Index -26.30 -6.0 points
- Citi Emerging Markets Economic Surprise Index -26.30 +.2 point
- 10-Year TIPS Spread 1.74 -1.0 basis point
- 60.7% chance of Fed rate cut at July 31st meeting, 90.5% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +10 open in Japan
- China A50 Futures: Indicating -69 open in China
- DAX Futures: Indicating -62 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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