Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.4 +6.2%
- Euro/Yen Carry Return Index 122.28 -1.99%
- Emerging Markets Currency Volatility(VXY) 11.09 +1.46%
- S&P 500 Implied Correlation 60.31 +1.69%
- ISE Sentiment Index 75.0 -19.35
- Total Put/Call 1.46 +24.8%
- NYSE Arms 1.41 +44.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 85.12 +1.26%
- America Energy Sector High-Yield CDS Index 825.59 +1.52%
- European Financial Sector CDS Index 113.5 -1.51%
- Western Europe Sovereign Debt CDS Index 30.46 +5.2%
- Asia Pacific Sovereign Debt CDS Index 55.5 +2.58%
- Emerging Market CDS Index 307.59 +1.86%
- iBoxx Offshore RMB China Corporate High Yield Index 129.39 +.05%
- 2-Year Swap Spread 14.5 -1.0 basis points
- TED Spread 40.0 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -39.75 -4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.37 -.20%
- 3-Month T-Bill Yield .25% unch.
- Yield Curve 89.0 -2.0 basis points
- China Import Iron Ore Spot $50.70/Metric Tonne +.10%
- Citi US Economic Surprise Index -21.60 +1.3 point
- Citi Eurozone Economic Surprise Index -5.10 -.5 point
- Citi Emerging Markets Economic Surprise Index -3.9 -1.5 points
- 10-Year TIPS Spread 1.47% -3.0 basis points
- 17.4% chance of Fed rate hike at Sept. 21 meeting, 19.2% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +181 open in Japan
- China A50 Futures: Indicating -270 open in China
- DAX Futures: Indicating +55 open in Germany
Portfolio:
- Higher: On gains in my medical sector longs, index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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