Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.36 +1.98%
- Euro/Yen Carry Return Index 133.64 +.28%
- Emerging Markets Currency Volatility(VXY) 9.92 +3.01%
- S&P 500 Implied Correlation 34.58 +2.07%
- ISE Sentiment Index 96.0 -4.0%
- Total Put/Call .91 +7.1%
- NYSE Arms 1.19 -3.17%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.66 -1.82%
- America Energy Sector High-Yield CDS Index 382.0 +1.23%
- European Financial Sector CDS Index 76.77 +1.19%
- Italian/German 10Y Yld Spread 220.75 -10.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.96 +1.89%
- Emerging Market CDS Index 189.97 +.47%
- iBoxx Offshore RMB China Corporate High Yield Index 149.86 -.12%
- 2-Year Swap Spread 26.5 -.25 basis point
- TED Spread 41.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.97 +.01%
- 3-Month T-Bill Yield 1.93% +1.0 basis point
- Yield Curve 37.0 -.25 basis point
- China Iron Ore Spot 65.86 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 15.10 -1.1 points
- Citi Eurozone Economic Surprise Index -97.20 +1.7 points
- Citi Emerging Markets Economic Surprise Index -27.10 -.4 point
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 84.5% chance of Fed rate hike at Sept. 26th meeting, 85.4% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -49 open in Japan
- China A50 Futures: Indicating -92 open in China
- DAX Futures: Indicating +27 open in Germany
Portfolio:
- Higher: On gains in my retail/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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