Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 32.8 -6.6%
- Euro/Yen Carry Return Index 124.84 +.81%
- Emerging Markets Currency Volatility(VXY) 10.6 -1.1%
- S&P 500 Implied Correlation 69.2 -10.9%
- ISE Sentiment Index 104.0 +8.0 points
- Total Put/Call .78 -15.2%
- NYSE Arms .87 -43.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.67 -.45%
- US Energy High-Yield OAS 1,045.0 -.43%
- European Financial Sector CDS Index 76.83 +2.6%
- Italian/German 10Y Yld Spread 172.75 -4.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.15 +.39%
- Emerging Market CDS Index 195.66 -4.79%
- iBoxx Offshore RMB China Corporate High Yield Index 169.22 -.04%
- 2-Year Swap Spread 6.25 -.5 basis point
- TED Spread 15.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.5 -2.5 basis points
- MBS 5/10 Treasury Spread 115.0 unch.
- IHS Markit CMBX BBB- 6 70.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.62 +.34%
- 3-Month T-Bill Yield .14% -1.0 basis point
- Yield Curve 50.25 -.5 basis point
- China Iron Ore Spot 99.04 USD/Metric Tonne -1.86%
- Citi US Economic Surprise Index 145.40 +17.2 points
- Citi Eurozone Economic Surprise Index -168.10 +17.8 points
- Citi Emerging Markets Economic Surprise Index -8.9 -5.1 points
- 10-Year TIPS Spread 1.32 +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 +93 open in Japan
- China A50 Futures: Indicating -36 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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