Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 33.5 -.9%
- Euro/Yen Carry Return Index 124.80 -.1%
- Emerging Markets Currency Volatility(VXY) 10.5 unch.
- S&P 500 Implied Correlation 68.3 -2.6%
- ISE Sentiment Index 125.0 -20.0 points
- Total Put/Call .85 -13.3%
- NYSE Arms .75 -65.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.01 +1.22%
- US Energy High-Yield OAS 948.40 +1.07%
- European Financial Sector CDS Index 81.73 +2.59%
- Italian/German 10Y Yld Spread 177.25 +6.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 87.1 +2.13%
- Emerging Market CDS Index 201.82 -3.58%
- iBoxx Offshore RMB China Corporate High Yield Index 169.59 +.02%
- 2-Year Swap Spread 6.75+.5 basis point
- TED Spread 16.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 +1.5 basis points
- MBS 5/10 Treasury Spread 113.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 70.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.43 +.01%
- 3-Month T-Bill Yield .14% unch.
- Yield Curve 48.0 -1.0 basis point
- China Iron Ore Spot 100.65 USD/Metric Tonne -.5%
- Citi US Economic Surprise Index 168.20 +11.1 points
- Citi Eurozone Economic Surprise Index -85.50 +2.0 points
- Citi Emerging Markets Economic Surprise Index -16.3 -2.9 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 +129 open in Japan
- China A50 Futures: Indicating -143 open in China
- DAX Futures: Indicating +49 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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