Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 29.0 -5.0%
- Euro/Yen Carry Return Index 122.42 +.36%
- Emerging Markets Currency Volatility(VXY) 11.0 -1.4%
- S&P 500 Implied Correlation 63.58 -1.9%
- ISE Sentiment Index 100.0 -75.0 points
- Total Put/Call .77 +6.9%
- NYSE Arms 1.21 -35.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 85.82 -4.19%
- US Energy High-Yield OAS 1,100.02 -2.98%
- European Financial Sector CDS Index 93.52 -5.3%
- Italian/German 10Y Yld Spread 210.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 110.36 -2.58%
- Emerging Market CDS Index 309.0 -3.8%
- iBoxx Offshore RMB China Corporate High Yield Index 166.03 +.58%
- 2-Year Swap Spread 9.0 +.5 basis point
- TED Spread 25.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.5 +2.25 basis points
- MBS 5/10 Treasury Spread 101.0 -4.0 basis points
- IHS Markit CMBX BBB- 6 64.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.29 +.87%
- 3-Month T-Bill Yield .12% +1.0 basis point
- Yield Curve 52.0 -1.0 basis point
- China Iron Ore Spot 93.40 USD/Metric Tonne -1.09%
- Citi US Economic Surprise Index -92.30 +1.9 points
- Citi Eurozone Economic Surprise Index -295.20 -3.0 points
- Citi Emerging Markets Economic Surprise Index 1.9 -1.0 point
- 10-Year TIPS Spread 1.16 +1.0 basis point
- 99.3% chance of no change at July 29th meeting, 99.3% chance of no change at Sept. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +105 open in Japan
- China A50 Futures: Indicating +33 open in China
- DAX Futures: Indicating -44 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial/biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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