Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.5 -1.4%
- Euro/Yen Carry Return Index 128.31 +.05%
- Emerging Markets Currency Volatility(VXY) 9.85 +.31%
- S&P 500 Implied Correlation 58.1 +.28%
- ISE Sentiment Index 145 .0 +17.0 points
- Total Put/Call .63 -30.0%
- NYSE Arms 1.12 -2.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.52 +.38%
- US Energy High-Yield OAS 863.14 +.38%
- European Financial Sector CDS Index 68.50 +3.16%
- Italian/German 10Y Yld Spread 144.5 unch.
- Asia Ex-Japan Investment Grade CDS Index 74.90 +.17%
- Emerging Market CDS Index 184.07 -.14%
- iBoxx Offshore RMB China Corporate High Yield Index 175.72 +.05%
- 2-Year Swap Spread 6.5 +.25 basis point
- TED Spread 14.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 +3.5 basis points
- MBS 5/10 Treasury Spread 98.5 -.5 basis point
- IHS Markit CMBX BBB- 6 66.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.58 +.57%
- 3-Month T-Bill Yield .10% -1.0 basis point
- Yield Curve 43.75 -2.3 basis points
- China Iron Ore Spot 103.67 USD/Metric Tonne -.54%
- Citi US Economic Surprise Index 238.5 +2.3 points
- Citi Eurozone Economic Surprise Index 138.60 +21.6 points
- Citi Emerging Markets Economic Surprise Index -24.1 -3.6 points
- 10-Year TIPS Spread 1.51 unch.
- 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 +37 open in China
- DAX Futures: Indicating +29 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/industrial/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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