Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 36.1 -.1%
- Euro/Yen Carry Return Index 125.99 +.52%
- Emerging Markets Currency Volatility(VXY) 10.37 +2.7%
- S&P 500 Implied Correlation 67.68 +2.0%
- ISE Sentiment Index 75.0 -11.0 points
- Total Put/Call .88 -9.28%
- NYSE Arms 1.08 +168.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.75 -3.1%
- US Energy High-Yield OAS 966.36 +.77%
- European Financial Sector CDS Index 81.79 +.14%
- Italian/German 10Y Yld Spread 190.5 +1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 93.20 +2.84%
- Emerging Market CDS Index 203.22 -19.1%
- iBoxx Offshore RMB China Corporate High Yield Index 169.30 +.14%
- 2-Year Swap Spread 6.75 -1.0 basis point
- TED Spread 17.0 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -19.0 -3.25 basis points
- MBS 5/10 Treasury Spread 111.0 +6.0 basis points
- IHS Markit CMBX BBB- 6 71.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.96 +.03%
- 3-Month T-Bill Yield .16% unch.
- Yield Curve 48.5 -1.75 basis points
- China Iron Ore Spot 101.18 USD/Metric Tonne +.68%
- Citi US Economic Surprise Index 101.50 +19.3 points
- Citi Eurozone Economic Surprise Index -204.90 +11.0 points
- Citi Emerging Markets Economic Surprise Index 15.0 -5.9 points
- 10-Year TIPS Spread 1.22 +3.0 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 +455 open in Japan
- China A50 Futures: Indicating +54 open in China
- DAX Futures: Indicating +179 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/biotech/consumer staple/industrial 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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