Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.2 -2.3%
- Euro/Yen Carry Return Index 127.81 -.42%
- Emerging Markets Currency Volatility(VXY) 10.09 +2.6%
- S&P 500 Implied Correlation 56.8 -1.0%
- ISE Sentiment Index 125 .0 -20.0 points
- Total Put/Call .80 +29.0%
- NYSE Arms .90 -23.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.74 +.64%
- US Energy High-Yield OAS 862.77 +.35%
- European Financial Sector CDS Index 70.27 +2.58%
- Italian/German 10Y Yld Spread 146.75 +2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.58 -.34%
- Emerging Market CDS Index 189.38 +3.21%
- iBoxx Offshore RMB China Corporate High Yield Index 176.72 +.57%
- 2-Year Swap Spread 7.5 +1.0 basis point
- TED Spread 14.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 -1.25 basis points
- MBS 5/10 Treasury Spread 96.25 -2.25 basis points
- IHS Markit CMBX BBB- 6 66.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.36 -.41%
- 3-Month T-Bill Yield .10% unch.
- Yield Curve 47.75 +4.0 basis points
- China Iron Ore Spot 105.26 USD/Metric Tonne +.98%
- Citi US Economic Surprise Index 236.2 -2.3 points
- Citi Eurozone Economic Surprise Index 147.60 +9.0 points
- Citi Emerging Markets Economic Surprise Index -18.9 +5.2 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 -77 open in Japan
- China A50 Futures: Indicating -100 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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