Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Every Sector Rising
- Volume: Slightly Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.64 -11.25%
- Euro/Yen Carry Return Index 118.99 +.20%
- Emerging Markets Currency Volatility(VXY) 10.37 -3.45%
- S&P 500 Implied Correlation 55.75 -3.59%
- ISE Sentiment Index 62.0 -8.82%
- Total Put/Call 1.20 +6.19%
- NYSE Arms .66 +17.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 81.11 -4.20%
- America Energy Sector High-Yield CDS Index 806.0 -4.69%
- European Financial Sector CDS Index 116.50 -9.97%
- Western Europe Sovereign Debt CDS Index 32.13 -10.57%
- Asia Pacific Sovereign Debt CDS Index 50.876 -4.85%
- Emerging Market CDS Index 272.16 -7.13%
- iBoxx Offshore RMB China Corporate High Yield Index 130.02 -.01%
- 2-Year Swap Spread 12.75 +1.25 basis points
- TED Spread 36.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.36 +.84%
- 3-Month T-Bill Yield .25% unch.
- Yield Curve 85.0 unch.
- China Import Iron Ore Spot $53.89/Metric Tonne +.45%
- Citi US Economic Surprise Index -20.1 +.4 point
- Citi Eurozone Economic Surprise Index .5 +1.1 points
- Citi Emerging Markets Economic Surprise Index -10.0 -1.5 points
- 10-Year TIPS Spread 1.42% +2.0 basis points
- 1.9% chance of Fed rate hike at Sept. 21 meeting, 3.9% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +219 open in Japan
- China A50 Futures: Indicating -59 open in China
- DAX Futures: Indicating -14 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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