Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 34.96 -.9%
- Euro/Yen Carry Return Index 119.98 -.1%
- Emerging Markets Currency Volatility(VXY) 11.92 +1.5%
- S&P 500 Implied Correlation 71.15 -4.1%
- ISE Sentiment Index 56.0 -16.0 points
- Total Put/Call .97 -17.8%
- NYSE Arms .54 -57.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 96.64 +.37%
- US Energy High-Yield OAS 1,282.77 +1.51%
- European Financial Sector CDS Index 109.23 +3.27%
- Italian/German 10Y Yld Spread 236.0 +2.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 120.84 +2.65%
- Emerging Market CDS Index 345.41 +.22%
- iBoxx Offshore RMB China Corporate High Yield Index 164.46 -.07%
- 2-Year Swap Spread 10.75 +.5 basis point
- TED Spread 27.75 -4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -3.0 basis points
- MBS 5/10 Treasury Spread 107.0 -5.0 basis points
- IHS Markit CMBX BBB- 6 63.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 58.10 +.02%
- 3-Month T-Bill Yield .11% +1.0 basis point
- Yield Curve 48.25 -1.5 basis points
- China Iron Ore Spot 87.80 USD/Metric Tonne -1.08%
- Citi US Economic Surprise Index -69.70 -8.6 points
- Citi Eurozone Economic Surprise Index -301.20 -.5 point
- Citi Emerging Markets Economic Surprise Index .6 -2.9 points
- 10-Year TIPS Spread 1.05 -2.0 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 +110 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating +87 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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