Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.8 +1.7%
- Euro/Yen Carry Return Index 135.21 -.24%
- Emerging Markets Currency Volatility(VXY) 10.13 +.5%
- S&P 500 Implied Correlation 30.55 +7.34%
- ISE Sentiment Index 77.0 -44.6%
- Total Put/Call .88 +6.64%
- NYSE Arms .69 -16.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.86 -1.15%
- America Energy Sector High-Yield CDS Index 376.0 -.70%
- European Financial Sector CDS Index 77.17 -3.69%
- Italian/German 10Y Yld Spread 229.0 +5.75 basis points
- Asia Pacific Sovereign Debt CDS Index 12.45 -1.74%
- Emerging Market CDS Index 173.60 +1.38%
- iBoxx Offshore RMB China Corporate High Yield Index 148.67 +.75%
- 2-Year Swap Spread 21.50 -.5 basis point
- TED Spread 35.0 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.58 -.06%
- 3-Month T-Bill Yield 1.99% +2.0 basis points
- Yield Curve 31.5 -1.75 basis points
- China Iron Ore Spot 65.77 USD/Metric Tonne +.06%
- Citi US Economic Surprise Index -1.10 +1.2 points
- Citi Eurozone Economic Surprise Index -34.50 +.3 point
- Citi Emerging Markets Economic Surprise Index -1.40 +.3 point
- 10-Year TIPS Spread 2.12 unch.
- 91.4% chance of Fed rate hike at Sept. 26th meeting, 91.8% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +50 open in Japan
- China A50 Futures: Indicating +144 open in China
- DAX Futures: Indicating -22 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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