Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.74 +8.6%
- Euro/Yen Carry Return Index 136.14 +.29%
- Emerging Markets Currency Volatility(VXY) 10.0 +4.3%
- S&P 500 Implied Correlation 33.14 +1.4%
- ISE Sentiment Index 90.0 -15.9%
- Total Put/Call 1.0 +1.0%
- NYSE Arms 1.72 +135.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.95 +.99%
- America Energy Sector High-Yield CDS Index 386.0 +.85%
- European Financial Sector CDS Index 81.69 +2.09%
- Italian/German 10Y Yld Spread 232.25 -3.0 basis points
- Asia Pacific Sovereign Debt CDS Index 14.79 +2.64%
- Emerging Market CDS Index 179.44 +4.83%
- iBoxx Offshore RMB China Corporate High Yield Index 148.13 -.09%
- 2-Year Swap Spread 23.5 -.75 basis point
- TED Spread 36.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.51 -.86%
- 3-Month T-Bill Yield 1.96% -1.0 basis point
- Yield Curve 27.0 -1.25 basis points
- China Iron Ore Spot 63.35 USD/Metric Tonne +.16%
- Citi US Economic Surprise Index 13.90 unch.
- Citi Eurozone Economic Surprise Index -36.20 +.5 point
- Citi Emerging Markets Economic Surprise Index .3 +2.0 points
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 86.2% chance of Fed rate hike at Sept. 26th meeting, 86.6% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +93 open in Japan
- China A50 Futures: Indicating -109 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Lower: On losses in my industrial/retail/tech sector longs
- Disclosed Trades:Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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