Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.6 -5.6%
- Euro/Yen Carry Return Index 125.30 -.13%
- Emerging Markets Currency Volatility(VXY) 9.87 -.60%
- S&P 500 Implied Correlation 58.70 -5.4%
- ISE Sentiment Index 124.0 -9.0 points
- Total Put/Call .79 +2.6%
- NYSE Arms .65 -.50%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.14 +.73%
- US Energy High-Yield OAS 977.15.0 +.33%
- European Financial Sector CDS Index 76.83 +1.80%
- Italian/German 10Y Yld Spread 169.0 +3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 80.51 +1.4%
- Emerging Market CDS Index 195.03 +1.43%
- iBoxx Offshore RMB China Corporate High Yield Index 174.22 +.28%
- 2-Year Swap Spread 6.25 unch.
- TED Spread 14.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -1.25 basis points
- MBS 5/10 Treasury Spread 94.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 68.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.75 +.03%
- 3-Month T-Bill Yield .12% -1.0 basis point
- Yield Curve 46.0 -3.75 basis points
- China Iron Ore Spot 103.0 USD/Metric Tonne +.04%
- Citi US Economic Surprise Index 225.9 +1.8 points
- Citi Eurozone Economic Surprise Index -38.80 +11.1 points
- Citi Emerging Markets Economic Surprise Index -23.20 -4.7 points
- 10-Year TIPS Spread 1.39 +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 +280 open in Japan
- China A50 Futures: Indicating -82 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/consumer staple sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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