Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.48 +1.06%
- Euro/Yen Carry Return Index 129.45 -.23%
- Emerging Markets Currency Volatility(VXY) 7.55 +.67%
- S&P 500 Implied Correlation 36.92 +2.6%
- ISE Sentiment Index 48.0 +4.35%
- Total Put/Call .85 +6.25%
- NYSE Arms 1.42 +60.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.16 +1.38%
- America Energy Sector High-Yield CDS Index 437.0 +2.79%
- European Financial Sector CDS Index 61.29 +1.63%
- Western Europe Sovereign Debt CDS Index 6.58 -.08%
- Asia Pacific Sovereign Debt CDS Index 17.64 +.91%
- Emerging Market CDS Index 201.08 +2.64%
- iBoxx Offshore RMB China Corporate High Yield Index 139.37 +.08%
- 2-Year Swap Spread 20.25 +.25 basis point
- TED Spread 26.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.46 -.66%
- 3-Month T-Bill Yield 1.01% +1.0 basis point
- Yield Curve 81.0 -2.0 basis points
- China Import Iron Ore Spot $56.45/Metric Tonne +.27%
- Citi US Economic Surprise Index -77.20 +.3 point
- Citi Eurozone Economic Surprise Index 22.80 -2.8 points
- Citi Emerging Markets Economic Surprise Index 9.4 -.3 point
- 10-Year TIPS Spread 1.67 -2.0 basis points
- 26.1% chance of Fed rate hike at Sept. 20 meeting, 27.6% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -30 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 75% Net Long
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