Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.1 +7.4%
- Euro/Yen Carry Return Index 128.43 -.08%
- Emerging Markets Currency Volatility(VXY) 9.7 +1.4%
- S&P 500 Implied Correlation 58.2 +10.1%
- ISE Sentiment Index 113 .0 -28.0 points
- Total Put/Call .70 -6.7%
- NYSE Arms 1.36 +32.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.80 +.72%
- US Energy High-Yield OAS 863.52 +.11%
- European Financial Sector CDS Index 66.27 -.53%
- Italian/German 10Y Yld Spread 146.5 -6.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.27 -2.24%
- Emerging Market CDS Index 181.38 +6.65%
- iBoxx Offshore RMB China Corporate High Yield Index 175.81 +.09%
- 2-Year Swap Spread 6.25 -.25 basis point
- TED Spread 15.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -7.5 -1.75 basis points
- MBS 5/10 Treasury Spread 98.0 unch.
- IHS Markit CMBX BBB- 6 66.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.29 -.2%
- 3-Month T-Bill Yield .11% unch.
- Yield Curve 46.25 unch.
- China Iron Ore Spot 107.30 USD/Metric Tonne -.88%
- Citi US Economic Surprise Index 236.1 -3.8 points
- Citi Eurozone Economic Surprise Index 66.0 +3.2 points
- Citi Emerging Markets Economic Surprise Index -16.7 -7.9 points
- 10-Year TIPS Spread 1.45 -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 -231 open in Japan
- China A50 Futures: Indicating -152 open in China
- DAX Futures: Indicating -140 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer staple sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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