Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.5 -.04%
- Euro/Yen Carry Return Index 127.62 +.25%
- Emerging Markets Currency Volatility(VXY) 9.31 -.85%
- S&P 500 Implied Correlation 52.6 +1.2%
- ISE Sentiment Index 93.0 -5.0 points
- Total Put/Call .67 -13.0%
- NYSE Arms .62 -53.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.20 -1.37%
- US Energy High-Yield OAS 874.47 -1.20%
- European Financial Sector CDS Index 65.54 -3.96%
- Italian/German 10Y Yld Spread 155.0 -1.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 76.68 -1.55%
- Emerging Market CDS Index 174.11 -4.9%
- iBoxx Offshore RMB China Corporate High Yield Index 173.96 -.76%
- 2-Year Swap Spread 7.5 +.5 basis point
- TED Spread 15.75 -1.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.0 -1.0 basis point
- MBS 5/10 Treasury Spread 99.0 -2.0 basis points
- IHS Markit CMBX BBB- 6 67.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.39 +.98%
- 3-Month T-Bill Yield .11% unch.
- Yield Curve 46.25 -1.0 basis point
- China Iron Ore Spot 108.55 USD/Metric Tonne +.42%
- Citi US Economic Surprise Index 246.5 -4.2 points
- Citi Eurozone Economic Surprise Index 57.7 +50.6 points
- Citi Emerging Markets Economic Surprise Index -7.9 -.8 points
- 10-Year TIPS Spread 1.47 +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 -80 open in Japan
- China A50 Futures: Indicating -81 open in China
- DAX Futures: Indicating -34 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs, index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: Moved to 75% Net Long
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