Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.5 -1.8%
- Euro/Yen Carry Return Index 120.74 +.84%
- Emerging Markets Currency Volatility(VXY) 11.79 -.08%
- S&P 500 Implied Correlation 63.85 -4.50%
- ISE Sentiment Index 90.0 -7.0 points
- Total Put/Call .78 -8.24%
- NYSE Arms 1.80 +215.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 92.06 +.81%
- US Energy High-Yield OAS 1,262.38 -.30%
- European Financial Sector CDS Index 103.39 -3.36%
- Italian/German 10Y Yld Spread 239.0 +.75 basis point
- Asia Ex-Japan Investment Grade CDS Index 117.70 -.76%
- Emerging Market CDS Index 328.13 -1.55%
- iBoxx Offshore RMB China Corporate High Yield Index 164.01 unch.
- 2-Year Swap Spread 8.5 -2.0 basis points
- TED Spread 34.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +1.25 basis point
- MBS 5/10 Treasury Spread 108.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.13 -.36%
- 3-Month T-Bill Yield .11% +1.0 basis point
- Yield Curve 53.50 +2.5 basis points
- China Iron Ore Spot 85.30 USD/Metric Tonne +.04%
- Citi US Economic Surprise Index -54.30 +.5 point
- Citi Eurozone Economic Surprise Index -304.60 -4.5 points
- Citi Emerging Markets Economic Surprise Index 14.0 +3.1 points
- 10-Year TIPS Spread 1.13 +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 +155 open in Japan
- China A50 Futures: Indicating -117 open in China
- DAX Futures: Indicating +51 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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