Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 33.5 +1.6%
- Euro/Yen Carry Return Index 123.92 -.26%
- Emerging Markets Currency Volatility(VXY) 10.72 -.83%
- S&P 500 Implied Correlation 71.99 +4.3%
- ISE Sentiment Index 96.0 -1.0 point
- Total Put/Call .87 +2.35%
- NYSE Arms 1.82 +121.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.43 +4.6%
- US Energy High-Yield OAS 922.14 -.05%
- European Financial Sector CDS Index 75.86 -.81%
- Italian/German 10Y Yld Spread 177.25 -1.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.67 +.98%
- Emerging Market CDS Index 198.88 -5.0%
- iBoxx Offshore RMB China Corporate High Yield Index 169.30 +.09%
- 2-Year Swap Spread 6.75 +.75 basis point
- TED Spread 16.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -.75 basis point
- MBS 5/10 Treasury Spread 115.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 71.0 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.43 +.22%
- 3-Month T-Bill Yield .15% unch.
- Yield Curve 50.75 -1.0 basis point
- China Iron Ore Spot 100.65 USD/Metric Tonne -.26%
- Citi US Economic Surprise Index 128.60 +1.9 points
- Citi Eurozone Economic Surprise Index -186.90 +5.1 points
- Citi Emerging Markets Economic Surprise Index -3.8 +.1 point
- 10-Year TIPS Spread 1.29 +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 -63 open in Japan
- China A50 Futures: Indicating -192 open in China
- DAX Futures: Indicating -171 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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