Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 32.9 -5.3%
- Euro/Yen Carry Return Index 124.45 +.54%
- Emerging Markets Currency Volatility(VXY) 10.69 -.56%
- S&P 500 Implied Correlation 67.1 -2.75%
- ISE Sentiment Index 119.0 +27.0 points
- Total Put/Call .98 -6.67%
- NYSE Arms .69 -50.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.90 -.87%
- US Energy High-Yield OAS 990.50 +1.77%
- European Financial Sector CDS Index 84.80 -.4%
- Italian/German 10Y Yld Spread 177.5 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 87.78 -.13%
- Emerging Market CDS Index 204.12 -.67%
- iBoxx Offshore RMB China Corporate High Yield Index 169.38 +.07%
- 2-Year Swap Spread 6.75 -.25 basis point
- TED Spread 17.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -8.25 +.75 basis point
- MBS 5/10 Treasury Spread 111.0 unch.
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.14 -.01%
- 3-Month T-Bill Yield .13% -1.0 basis point
- Yield Curve 47.5 -1.75 basis points
- China Iron Ore Spot 97.75 USD/Metric Tonne -3.24%
- Citi US Economic Surprise Index 167.40 +5.3 points
- Citi Eurozone Economic Surprise Index -99.80 -18.0 points
- Citi Emerging Markets Economic Surprise Index -26.0 -7.7 points
- 10-Year TIPS Spread 1.33 +1.0 basis point
- 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 +345 open in Japan
- China A50 Futures: Indicating -176 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/industrial/consumer staple sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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