Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 28.9 -5.0%
- Euro/Yen Carry Return Index 125.38 -.27%
- Emerging Markets Currency Volatility(VXY) 10.4 -1.2%
- S&P 500 Implied Correlation 62.0 -.11%
- ISE Sentiment Index 123.0 +18.0 points
- Total Put/Call .80 -4.8%
- NYSE Arms 1.60 +100.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.08 -2.89%
- US Energy High-Yield OAS 995.27 -.26%
- European Financial Sector CDS Index 77.80 -2.63%
- Italian/German 10Y Yld Spread 177.5 unch.
- Asia Ex-Japan Investment Grade CDS Index 84.08 -3.17%
- Emerging Market CDS Index 185.66 -4.89%
- iBoxx Offshore RMB China Corporate High Yield Index 169.62 +.02%
- 2-Year Swap Spread 7.0 -.5 basis point
- TED Spread 16.25 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.0 -.5 basis point
- MBS 5/10 Treasury Spread 107.0 -2.0 basis points
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.40 +.54%
- 3-Month T-Bill Yield .13% unch.
- Yield Curve 52.75 +4.25 basis points
- China Iron Ore Spot 94.85 USD/Metric Tonne -.47%
- Citi US Economic Surprise Index 184.70 +3.5 points
- Citi Eurozone Economic Surprise Index -68.50 +21.7 points
- Citi Emerging Markets Economic Surprise Index -22.40 +3.1 points
- 10-Year TIPS Spread 1.35 +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 +94 open in Japan
- China A50 Futures: Indicating -253 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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