Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 17.5 -7.4%
- Euro/Yen Carry Return Index 126.41 +.16%
- Emerging Markets Currency Volatility(VXY) 8.57 -.23%
- S&P 500 Implied Correlation 42.0 -5.3%
- ISE Sentiment Index 82.0 +20.6%
- Total Put/Call .96 -13.5%
- NYSE Arms .64 unch.
Credit Investor Angst:
- North American Investment Grade CDS Index 66.12 -5.5%
- America Energy Sector High-Yield CDS Index 618.0 -1.33%
- European Financial Sector CDS Index 83.58 -6.34%
- Italian/German 10Y Yld Spread 272.0 -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 79.39 -2.24%
- Emerging Market CDS Index 202.0 -3.95%
- iBoxx Offshore RMB China Corporate High Yield Index 163.30 -.03%
- 2-Year Swap Spread 4.0 -1.0 basis point
- TED Spread 17.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.53 +.38%
- 3-Month T-Bill Yield 2.32% -1.0 basis point
- Yield Curve 24.75 +1.5 basis points
- China Iron Ore Spot 98.46 USD/Metric Tonne +.20%
- Citi US Economic Surprise Index -34.0 +1.9 points
- Citi Eurozone Economic Surprise Index -24.40 +1.9 points
- Citi Emerging Markets Economic Surprise Index -31.30 -5.0 points
- 10-Year TIPS Spread 1.76 +2.0 basis points
- 64.5% chance of Fed rate cut at July 31st meeting, 92.7% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +257 open in Japan
- China A50 Futures: Indicating +18 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/biotech/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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