Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 26.3 -4.5%
- Euro/Yen Carry Return Index 126.65 -.02%
- Emerging Markets Currency Volatility(VXY) 9.65 +1.15%
- S&P 500 Implied Correlation 57.25 -7.6%
- ISE Sentiment Index 86.0 -62.0 points
- Total Put/Call .69 unch.
- NYSE Arms 1.69 -36.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.85 +1.24%
- US Energy High-Yield OAS 894.30 +1.29%
- European Financial Sector CDS Index 77.63 +2.68%
- Italian/German 10Y Yld Spread 188.25 +7.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 84.52 +2.08%
- Emerging Market CDS Index 235.59 +.25%
- iBoxx Offshore RMB China Corporate High Yield Index 169.16 -.22%
- 2-Year Swap Spread 8.5 -.25 basis point
- TED Spread 14.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.5 unch.
- MBS 5/10 Treasury Spread 106.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 74.25 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 62.01 +.35%
- 3-Month T-Bill Yield .17% +1.0 basis point
- Yield Curve 57.75 -4.75 basis points
- China Iron Ore Spot 100.41 USD/Metric Tonne -.08%
- Citi US Economic Surprise Index 65.10 -4.5 points
- Citi Eurozone Economic Surprise Index -213.20 -1.0 point
- Citi Emerging Markets Economic Surprise Index 40.5 -1.0 point
- 10-Year TIPS Spread 1.27 +1.0 basis point
- 85.9% chance of no change at Sept. 16 meeting, 86.2% chance of no change at Nov. 5th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -285 open in Japan
- China A50 Futures: Indicating -122 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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