Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Light
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.64 -8.9%
- Euro/Yen Carry Return Index 134.99 +.24%
- Emerging Markets Currency Volatility(VXY) 9.46 -.32%
- S&P 500 Implied Correlation 35.58 -1.33%
- ISE Sentiment Index 104.0 +23.81%
- Total Put/Call .94 +3.30%
- NYSE Arms .64 -22.10%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.55 -2.66%
- America Energy Sector High-Yield CDS Index 397.0 -.10%
- European Financial Sector CDS Index 83.23 -2.15%
- Italian/German 10Y Yld Spread 242.50 -.5 basis point
- Asia Pacific Sovereign Debt CDS Index 14.99 +.40%
- Emerging Market CDS Index 176.16 -1.60%
- iBoxx Offshore RMB China Corporate High Yield Index 148.28 unch.
- 2-Year Swap Spread 25.0 -.5 basis point
- TED Spread 39.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.97 +.44%
- 3-Month T-Bill Yield 1.94% -1.0 basis point
- Yield Curve 28.5 +.25 basis point
- China Iron Ore Spot 62.62 USD/Metric Tonne -.33%
- Citi US Economic Surprise Index 12.60 +2.1 points
- Citi Eurozone Economic Surprise Index -36.10 +9.1 points
- Citi Emerging Markets Economic Surprise Index -5.40 +.6 point
- 10-Year TIPS Spread 2.14 unch.
- 81.6% chance of Fed rate hike at Sept. 26th meeting, 82.6% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +77 open in Japan
- China A50 Futures: Indicating -36 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/industrial/retail/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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