Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 27.8 +.7%
- Euro/Yen Carry Return Index 123.78 +.67%
- Emerging Markets Currency Volatility(VXY) 10.95 +1.11%
- S&P 500 Implied Correlation 60.50 -.35%
- ISE Sentiment Index 121.0 +16.0 points
- Total Put/Call .79 -8.14%
- NYSE Arms 2.35 +187.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.57 -2.97%
- US Energy High-Yield OAS 1,019.70 -.82%
- European Financial Sector CDS Index 80.14 -2.88%
- Italian/German 10Y Yld Spread 184.50 -7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 101.0 +.07%
- Emerging Market CDS Index 289.45 +.01%
- iBoxx Offshore RMB China Corporate High Yield Index 166.44 +.14%
- 2-Year Swap Spread 9.0 +.5 basis point
- TED Spread 23.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.5 -1.0 basis point
- MBS 5/10 Treasury Spread 116.0 unch.
- IHS Markit CMBX BBB- 6 65.25 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.10 +.17%
- 3-Month T-Bill Yield .14% unch.
- Yield Curve 50.75 -2.0 basis points
- China Iron Ore Spot 95.70 USD/Metric Tonne +.50%
- Citi US Economic Surprise Index -55.70 +19.6 points
- Citi Eurozone Economic Surprise Index -279.0 -28.0 points
- Citi Emerging Markets Economic Surprise Index 13.2 +4.4 points
- 10-Year TIPS Spread 1.18 +5.0 basis points
- 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 +158 open in Japan
- China A50 Futures: Indicating -104 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/consumer staple/industrial/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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