Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 34.3 -.2%
- Euro/Yen Carry Return Index 125.36 -.52%
- Emerging Markets Currency Volatility(VXY) 10.7 +3.9%
- S&P 500 Implied Correlation 66.2 +2.4%
- ISE Sentiment Index 95.0 +27.0 points
- Total Put/Call .77 -12.5%
- NYSE Arms 1.09 +11.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.0 -4.26%
- US Energy High-Yield OAS 927.79 -3.38%
- European Financial Sector CDS Index 75.02 -8.0%
- Italian/German 10Y Yld Spread 182.5 -8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.18 -8.7%
- Emerging Market CDS Index 187.59 -10.48%
- iBoxx Offshore RMB China Corporate High Yield Index 169.35 +.03%
- 2-Year Swap Spread 7.0 +.25 basis point
- TED Spread 15.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 +5.0 basis points
- MBS 5/10 Treasury Spread 111.0 unch.
- IHS Markit CMBX BBB- 6 70.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.82 -.2%
- 3-Month T-Bill Yield .16% unch.
- Yield Curve 56.5 +8.0 basis points
- China Iron Ore Spot 101.5 USD/Metric Tonne +.23%
- Citi US Economic Surprise Index 119.30 +17.8 points
- Citi Eurozone Economic Surprise Index -200.10 +3.8 points
- Citi Emerging Markets Economic Surprise Index .6 -14.4 points
- 10-Year TIPS Spread 1.27 +5.0 basis points
- 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 -205 open in Japan
- China A50 Futures: Indicating -134 open in China
- DAX Futures: Indicating -18 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/biotech/consumer staple/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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