Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.66 -2.42%
- Euro/Yen Carry Return Index 134.67 -.04%
- Emerging Markets Currency Volatility(VXY) 7.59 -.78%
- S&P 500 Implied Correlation 30.97 -7.5%
- ISE Sentiment Index 91.0 +7.06%
- Total Put/Call .83 -3.49%
- NYSE Arms 1.13 +73.52%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.97 -2.0%
- America Energy Sector High-Yield CDS Index 458.0 -1.80%
- European Financial Sector CDS Index 51.80 +1.76%
- Western Europe Sovereign Debt CDS Index 6.24 +1.96%
- Asia Pacific Sovereign Debt CDS Index 21.72 -.16%
- Emerging Market CDS Index 195.60 -.72%
- iBoxx Offshore RMB China Corporate High Yield Index 140.13 +.06%
- 2-Year Swap Spread 24.0 -1.0 basis point
- TED Spread 27.25 +1.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.44 +.58%
- 3-Month T-Bill Yield 1.03% unch.
- Yield Curve 97.0 -1.0 basis point
- China Import Iron Ore Spot $65.74/Metric Tonne -.26%
- Citi US Economic Surprise Index -68.10 -13.4 points
- Citi Eurozone Economic Surprise Index 36.30 -.9 point
- Citi Emerging Markets Economic Surprise Index 11.40 -2.2 points
- 10-Year TIPS Spread 1.77 -1.0 basis point
- 20.8% chance of Fed rate hike at Sept. 20 meeting, 24.1% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -58 open in Japan
- China A50 Futures: Indicating +22 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Higher: On gains in my tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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