Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.28 -6.87%
- Euro/Yen Carry Return Index 136.15 +.64%
- Emerging Markets Currency Volatility(VXY) 10.05 -.4%
- S&P 500 Implied Correlation 30.27 +4.67%
- ISE Sentiment Index 117.0 +46.25%
- Total Put/Call .91 -18.0%
- NYSE Arms 1.36 +91.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.37 -.83%
- America Energy Sector High-Yield CDS Index 358.0 -.80%
- European Financial Sector CDS Index 73.94 -3.82%
- Italian/German 10Y Yld Spread 227.75 -6.25 basis points
- Asia Pacific Sovereign Debt CDS Index 10.92 -7.45%
- Emerging Market CDS Index 168.73 +1.67%
- iBoxx Offshore RMB China Corporate High Yield Index 149.88 -.03%
- 2-Year Swap Spread 21.25 +.5 basis point
- TED Spread 32.25 -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.02 -.16%
- 3-Month T-Bill Yield 2.02% +3.0 basis points
- Yield Curve 29.5 -.25 basis point
- China Iron Ore Spot 67.40 USD/Metric Tonne -.58%
- Citi US Economic Surprise Index -2.20 +1.1 points
- Citi Eurozone Economic Surprise Index -25.90 +1.8 points
- Citi Emerging Markets Economic Surprise Index 0.0 -.6 point
- 10-Year TIPS Spread 2.13 unch.
- 82.6% chance of Fed rate hike at Sept. 26th meeting, 83.5% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +87 open in Japan
- China A50 Futures: Indicating +141 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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