Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.9 -4.2%
- Euro/Yen Carry Return Index 134.06 -.17%
- Emerging Markets Currency Volatility(VXY) 9.86 unch.
- S&P 500 Implied Correlation 37.45 -3.2%
- ISE Sentiment Index 136.0 +86.3%
- Total Put/Call 1.09 +2.83%
- NYSE Arms 1.12 -5.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.37 -.72%
- America Energy Sector High-Yield CDS Index 400.0 -.14%
- European Financial Sector CDS Index 89.92 -2.43%
- Italian/German 10Y Yld Spread 233.0 -1.75 basis points
- Asia Pacific Sovereign Debt CDS Index 15.19 -1.97%
- Emerging Market CDS Index 185.99 -2.36%
- iBoxx Offshore RMB China Corporate High Yield Index 148.07 +.13%
- 2-Year Swap Spread 25.5 -.75 basis point
- TED Spread 36.0 -5.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.40 +.36%
- 3-Month T-Bill Yield 1.97% +5.0 basis points
- Yield Curve 30.5 -1.25 basis points
- China Iron Ore Spot 64.12 USD/Metric Tonne +.11%
- Citi US Economic Surprise Index 8.90 +3.4 points
- Citi Eurozone Economic Surprise Index -51.10 +1.3 points
- Citi Emerging Markets Economic Surprise Index -8.40 +2.6 points
- 10-Year TIPS Spread 2.13 -1.0 basis point
- 77.3% chance of Fed rate hike at Sept. 26th meeting, 77.9% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +20 open in Japan
- China A50 Futures: Indicating -111 open in China
- DAX Futures: Indicating -18 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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