Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 34.4 +6.8%
- Euro/Yen Carry Return Index 124.83 +.09%
- Emerging Markets Currency Volatility(VXY) 10.7 +1.32%
- S&P 500 Implied Correlation 69.3 +7.4%
- ISE Sentiment Index 92.0 -32.0 points
- Total Put/Call .99 +11.2%
- NYSE Arms 1.02 +88.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.82 +3.5%
- US Energy High-Yield OAS 967.33 +1.54%
- European Financial Sector CDS Index 85.15 +4.4%
- Italian/German 10Y Yld Spread 177.5 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 87.34 +.64%
- Emerging Market CDS Index 204.47 -.94%
- iBoxx Offshore RMB China Corporate High Yield Index 169.26 -.19%
- 2-Year Swap Spread 7.0 +.25 basis point
- TED Spread 17.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.0 +1.0 basis point
- MBS 5/10 Treasury Spread 111.0 -2.0 basis points
- IHS Markit CMBX BBB- 6 68.25 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.21 -.43%
- 3-Month T-Bill Yield .14% unch.
- Yield Curve 49.25 +1.25 basis points
- China Iron Ore Spot 99.65 USD/Metric Tonne -1.24%
- Citi US Economic Surprise Index 162.10 -6.1 points
- Citi Eurozone Economic Surprise Index -81.80 +3.7 points
- Citi Emerging Markets Economic Surprise Index -18.3 -2.0 points
- 10-Year TIPS Spread 1.32 unch.
- 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -217 open in Japan
- China A50 Futures: Indicating -291 open in China
- DAX Futures: Indicating -41 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech/medical/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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