Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.6 -3.5%
- Euro/Yen Carry Return Index 127.15 -.23%
- Emerging Markets Currency Volatility(VXY) 7.99 -3.0%
- S&P 500 Implied Correlation 36.0 -1.0%
- ISE Sentiment Index 85.0 -9.6%
- Total Put/Call .94 +11.9%
- NYSE Arms 1.10 +48.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.39 -2.05%
- America Energy Sector High-Yield CDS Index 600.0 -.13%
- European Financial Sector CDS Index 62.14 -2.57%
- Italian/German 10Y Yld Spread 232.25 -8.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 62.28 -4.24%
- Emerging Market CDS Index 161.35 -4.47%
- iBoxx Offshore RMB China Corporate High Yield Index 164.26 +.06%
- 2-Year Swap Spread 5.5 +.25 basis point
- TED Spread 24.25 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.63 unch.
- 3-Month T-Bill Yield 2.12% +2.0 basis points
- Yield Curve 24.50 -.5 basis point
- China Iron Ore Spot 120.10 USD/Metric Tonne +.77%
- Citi US Economic Surprise Index -59.20 +9.1 points
- Citi Eurozone Economic Surprise Index -6.4 -2.0 points
- Citi Emerging Markets Economic Surprise Index -35.50 -3.5 points
- 10-Year TIPS Spread 1.70 unch.
- 100.0% chance of Fed rate cut at Sept. 18th meeting, 100.0% chance of cut at October 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -84 open in Japan
- China A50 Futures: Indicating -106 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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