Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.9 +.08%
- Euro/Yen Carry Return Index 135.66 -.21%
- Emerging Markets Currency Volatility(VXY) 10.24 +.99%
- S&P 500 Implied Correlation 30.84 -2.1%
- ISE Sentiment Index 105.0 +18.0%
- Total Put/Call .87 -10.31%
- NYSE Arms .87 -15.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.47 -.35%
- America Energy Sector High-Yield CDS Index 378.0 -.13%
- European Financial Sector CDS Index 80.31 -1.24%
- Italian/German 10Y Yld Spread 223.25 +1.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.68 -1.48%
- Emerging Market CDS Index 171.74 -.23%
- iBoxx Offshore RMB China Corporate High Yield Index 147.55 -.01%
- 2-Year Swap Spread 22.0 -1.25 basis points
- TED Spread 38.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.54 -.16%
- 3-Month T-Bill Yield 1.97% -1.0 basis point
- Yield Curve 33.25 +3.25 basis points
- China Iron Ore Spot 65.52 USD/Metric Tonne +.41%
- Citi US Economic Surprise Index -2.30 -2.2 points
- Citi Eurozone Economic Surprise Index -34.80 +2.0 points
- Citi Emerging Markets Economic Surprise Index -1.70 -1.6 points
- 10-Year TIPS Spread 2.12 +1.0 basis point
- 91.4% chance of Fed rate hike at Sept. 26th meeting, 91.8% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +130 open in Japan
- China A50 Futures: Indicating -11 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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