Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.54 +1.92%
- Euro/Yen Carry Return Index 134.96 -.25%
- Emerging Markets Currency Volatility(VXY) 7.57 +.8%
- S&P 500 Implied Correlation 29.0 +4.77%
- ISE Sentiment Index 111.0 +85.0%
- Total Put/Call .79 +6.76%
- NYSE Arms 1.12 -22.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.47 -.76%
- America Energy Sector High-Yield CDS Index 449.0 +1.81%
- European Financial Sector CDS Index 50.44 +2.09%
- Western Europe Sovereign Debt CDS Index 5.35 +40.0%
- Asia Pacific Sovereign Debt CDS Index 20.88 +.05%
- Emerging Market CDS Index 193.95 +.58%
- iBoxx Offshore RMB China Corporate High Yield Index 140.45 +.09%
- 2-Year Swap Spread 23.50 -.5 basis point
- TED Spread 14.5 -1.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.67 -.19%
- 3-Month T-Bill Yield 1.17% +1.0 basis point
- Yield Curve 89.0 -1.0 basis point
- China Import Iron Ore Spot $67.86/Metric Tonne +1.07%
- Citi US Economic Surprise Index -47.40 +5.2 points
- Citi Eurozone Economic Surprise Index 13.30 -13.1 points
- Citi Emerging Markets Economic Surprise Index 15.10 +3.7 points
- 10-Year TIPS Spread 1.78 +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 -5 open in Japan
- China A50 Futures: Indicating -5 open in China
- DAX Futures: Indicating +35 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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