Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Advancing
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.1 -1.4%
- Euro/Yen Carry Return Index 126.1 -.3%
- Emerging Markets Currency Volatility(VXY) 8.4 unch.
- S&P 500 Implied Correlation 38.1 unch.
- ISE Sentiment Index 110.0 -19.9%
- Total Put/Call .87 -12.1%
- NYSE Arms .68 -34.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.92 -4.76%
- America Energy Sector High-Yield CDS Index 632.0 -.39%
- European Financial Sector CDS Index 70.07 -8.32%
- Italian/German 10Y Yld Spread 243.5 -10.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.82 -1.63%
- Emerging Market CDS Index 183.58 -4.67%
- iBoxx Offshore RMB China Corporate High Yield Index 163.76 +.05%
- 2-Year Swap Spread 2.50 unch.
- TED Spread 22.25 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.75 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.61 +.40%
- 3-Month T-Bill Yield 2.20% +2.0 basis points
- Yield Curve 19.25 -3.0 basis points
- China Iron Ore Spot 108.16 USD/Metric Tonne +7.57%
- Citi US Economic Surprise Index -61.20 +2.0 points
- Citi Eurozone Economic Surprise Index -21.1 -6.7 points
- Citi Emerging Markets Economic Surprise Index -31.40 -1.9 points
- 10-Year TIPS Spread 1.64 +3.0 basis points
- 83.0% chance of Fed rate cut at July 31st meeting, 94.9% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +127 open in Japan
- China A50 Futures: Indicating +190 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail/medical/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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