Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 24.7 -3.8%
- Euro/Yen Carry Return Index 127.19 +.34%
- Emerging Markets Currency Volatility(VXY) 9.48 -.21%
- S&P 500 Implied Correlation 52.5 -3.8%
- ISE Sentiment Index 98.0 -2.0 points
- Total Put/Call .77 unch.
- NYSE Arms .93 -44.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.94 -2.22%
- US Energy High-Yield OAS 886.91 -.79%
- European Financial Sector CDS Index 68.24 -3.89%
- Italian/German 10Y Yld Spread 156.5 -5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 77.59 -1.5%
- Emerging Market CDS Index 183.54 -4.4%
- iBoxx Offshore RMB China Corporate High Yield Index 175.30 +.06%
- 2-Year Swap Spread 7.0 +.75 basis point
- TED Spread 16.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -7.0 -1.0 basis point
- MBS 5/10 Treasury Spread 101.0 +1.25 basis points
- IHS Markit CMBX BBB- 6 67.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.77 +.20%
- 3-Month T-Bill Yield .11% unch.
- Yield Curve 47.25 -.75 basis point
- China Iron Ore Spot 106.89 USD/Metric Tonne +.81%
- Citi US Economic Surprise Index 250.7 -8.4 points
- Citi Eurozone Economic Surprise Index -7.1 +6.9 points
- Citi Emerging Markets Economic Surprise Index -7.1 +34.9 points
- 10-Year TIPS Spread 1.45 +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 +72 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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