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) 17.4 -10.6%
- Euro/Yen Carry Return Index 123.12 -.39%
- Emerging Markets Currency Volatility(VXY) 8.38 -1.76%
- S&P 500 Implied Correlation 40.6 -8.7%
- ISE Sentiment Index 71.0 -2.7%
- Total Put/Call 1.04 -16.8%
- NYSE Arms .94 -5.05%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.75 -1.39%
- America Energy Sector High-Yield CDS Index 400.0 -28.9%
- European Financial Sector CDS Index 67.42 -3.38%
- Italian/German 10Y Yld Spread 209.25 +9.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.96 -2.04%
- Emerging Market CDS Index 174.82 -3.91%
- iBoxx Offshore RMB China Corporate High Yield Index 164.99 +.04%
- 2-Year Swap Spread -2.75 -1.75 basis points
- TED Spread 19.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.5 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.45 +.54%
- 3-Month T-Bill Yield 2.01% +1.0 basis point
- Yield Curve 10.25 -.25 basis point
- China Iron Ore Spot 92.25 USD/Metric Tonne +1.72%
- Citi US Economic Surprise Index -31.6 +1.9 points
- Citi Eurozone Economic Surprise Index -53.0 +.3 point
- Citi Emerging Markets Economic Surprise Index -19.9 +1.3 points
- 10-Year TIPS Spread 1.65 +5.0 basis points
- 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 +157 open in Japan
- China A50 Futures: Indicating -10 open in China
- DAX Futures: Indicating -27 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/industrial/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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