Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.44 +12.4%
- Euro/Yen Carry Return Index 134.94 +.57%
- Emerging Markets Currency Volatility(VXY) 7.96 +1.02%
- S&P 500 Implied Correlation 36.58 +4.0%
- ISE Sentiment Index 79.0 -30.7%
- Total Put/Call 1.13 +22.8%
- NYSE Arms 1.45 +27.56%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.0 +1.77%
- America Energy Sector High-Yield CDS Index 460.0 +.21%
- European Financial Sector CDS Index 53.46 +.72%
- Western Europe Sovereign Debt CDS Index 6.20 +7.5%
- Asia Pacific Sovereign Debt CDS Index 22.25 -.27%
- Emerging Market CDS Index 209.12 +1.57%
- iBoxx Offshore RMB China Corporate High Yield Index 139.80 +.04%
- 2-Year Swap Spread 24.75 +.75 basis point
- TED Spread 26.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.35 -.07%
- 3-Month T-Bill Yield 1.03% -1.0 basis point
- Yield Curve 97.0 +5.0 basis points
- China Import Iron Ore Spot $61.96/Metric Tonne -2.09%
- Citi US Economic Surprise Index -63.40 -.3 point
- Citi Eurozone Economic Surprise Index 36.30 -2.1 points
- Citi Emerging Markets Economic Surprise Index 15.60 +.4 point
- 10-Year TIPS Spread 1.77 unch.
- 31.4% chance of Fed rate hike at Sept. 20 meeting, 32.8% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -54 open in Japan
- China A50 Futures: Indicating -99 open in China
- DAX Futures: Indicating -27 open in Germany
Portfolio:
- Lower: On losses in my biotech/tech/medical/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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