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) 16.56 +12.1%
- Euro/Yen Carry Return Index 117.48 -1.72%
- Emerging Markets Currency Volatility(VXY) 10.12 +.10%
- S&P 500 Implied Correlation 56.67 +4.56%
- ISE Sentiment Index 51.0 -54.46%
- Total Put/Call 1.19 +29.35%
- NYSE Arms 1.42 +64.15%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.22 +3.56%
- America Energy Sector High-Yield CDS Index 756.0 -.29%
- European Financial Sector CDS Index 115.0 +4.03%
- Western Europe Sovereign Debt CDS Index 31.81 +2.58%
- Asia Pacific Sovereign Debt CDS Index 53.51 +1.19%
- Emerging Market CDS Index 274.57 +2.64%
- iBoxx Offshore RMB China Corporate High Yield Index 130.39 +.31%
- 2-Year Swap Spread 17.25 +1.25 basis points
- TED Spread 40.0 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.04 -.76%
- 3-Month T-Bill Yield .24% -1.0 basis point
- Yield Curve 81.0 -5.0 basis points
- China Import Iron Ore Spot $55.93/Metric Tonne -.52%
- Citi US Economic Surprise Index -13.4 +.9 point
- Citi Eurozone Economic Surprise Index 15.9 +6.7 points
- Citi Emerging Markets Economic Surprise Index -13.90 -.7 point
- 10-Year TIPS Spread 1.42% -5.0 basis points
- 2.0% chance of Fed rate hike at Sept. 21 meeting, 2.0% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -204 open in Japan
- China A50 Futures: Indicating -152 open in China
- DAX Futures: Indicating -55 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging markets shorts
- Market Exposure: Moved to 25% Net Long
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