Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.4 -1.3%
- Euro/Yen Carry Return Index 126.60 +.09%
- Emerging Markets Currency Volatility(VXY) 9.71 -.10%
- S&P 500 Implied Correlation 55.8 -.09%
- ISE Sentiment Index 109.0 +26.0 points
- Total Put/Call .67 +9.8%
- NYSE Arms 1.19 +45.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.11 -.03%
- US Energy High-Yield OAS 896.20 -.34%
- European Financial Sector CDS Index 70.97 -.96%
- Italian/German 10Y Yld Spread 165.25 +1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 79.19 -.16%
- Emerging Market CDS Index 196.95 +2.29%
- iBoxx Offshore RMB China Corporate High Yield Index 175.10 +.14%
- 2-Year Swap Spread 7.25 +.5 basis point
- TED Spread 15.5 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.0 +1.0 basis point
- MBS 5/10 Treasury Spread 96.25 -.75 basis point
- IHS Markit CMBX BBB- 6 67.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.73 -.19%
- 3-Month T-Bill Yield .10% -3.0 basis points
- Yield Curve 46.75 -1.25 basis points
- China Iron Ore Spot 106.85 USD/Metric Tonne -.47%
- Citi US Economic Surprise Index 270.8 +13.9 points
- Citi Eurozone Economic Surprise Index -14.0 +6.0 points
- Citi Emerging Markets Economic Surprise Index -11.30 +5.4 points
- 10-Year TIPS Spread 1.40 -1.0 basis point
- 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 +20 open in Japan
- China A50 Futures: Indicating +86 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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