Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.33 -9.69%
- Euro/Yen Carry Return Index 116.03 -.37%
- Emerging Markets Currency Volatility(VXY) 10.11 -.30%
- S&P 500 Implied Correlation 49.33 -4.58%
- ISE Sentiment Index 91.0 +7.06%
- Total Put/Call .82 -2.38%
- NYSE Arms .38 -68.89%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.72 -4.15%
- America Energy Sector High-Yield CDS Index 766.0 -2.88%
- European Financial Sector CDS Index 108.14 -7.27%
- Western Europe Sovereign Debt CDS Index 31.95 -1.14%
- Asia Pacific Sovereign Debt CDS Index 52.91 -.12%
- Emerging Market CDS Index 258.97 -4.56%
- iBoxx Offshore RMB China Corporate High Yield Index 130.23 +.01%
- 2-Year Swap Spread 15.75 -1.25 basis points
- TED Spread 38.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -43.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.35 +.66%
- 3-Month T-Bill Yield .28% unch.
- Yield Curve 76.0 -4.0 basis points
- China Import Iron Ore Spot $55.17/Metric Tonne +.18%
- Citi US Economic Surprise Index 5.3 +8.2 points
- Citi Eurozone Economic Surprise Index 7.4 -2.7 points
- Citi Emerging Markets Economic Surprise Index -14.60 +.3 point
- 10-Year TIPS Spread 1.46% unch.
- 11.7% chance of Fed rate hike at Sept. 21 meeting, 11.4% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +329 open in Japan
- China A50 Futures: Indicating +5 open in China
- DAX Futures: Indicating -16 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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