Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 32.5 -3.5%
- Euro/Yen Carry Return Index 124.85 -.36%
- Emerging Markets Currency Volatility(VXY) 10.9 +.7%
- S&P 500 Implied Correlation 65.7 +2.8%
- ISE Sentiment Index 103.0 +8.0 points
- Total Put/Call .71 -7.8%
- NYSE Arms 1.54 +94.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.84 +.62%
- US Energy High-Yield OAS 908.97 -.81%
- European Financial Sector CDS Index 74.55 -.61%
- Italian/German 10Y Yld Spread 180.75 -1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.18 -1.95%
- Emerging Market CDS Index 188.54 -3.42%
- iBoxx Offshore RMB China Corporate High Yield Index 169.27 -.04%
- 2-Year Swap Spread 6.5 -.5 basis point
- TED Spread 14.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 +4.0 basis points
- MBS 5/10 Treasury Spread 114.0 +3.0 basis points
- IHS Markit CMBX BBB- 6 70.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.70 -.13%
- 3-Month T-Bill Yield .15% -1.0 basis point
- Yield Curve 53.5 -3.0 basis points
- China Iron Ore Spot 100.23 USD/Metric Tonne -.72%
- Citi US Economic Surprise Index 113.40 -5.9 points
- Citi Eurozone Economic Surprise Index -196.30 -3.8 points
- Citi Emerging Markets Economic Surprise Index -2.6 -3.2 points
- 10-Year TIPS Spread 1.25 -2.0 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 +170 open in Japan
- China A50 Futures: Indicating -60 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/biotech/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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