Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.8 +2.9%
- Euro/Yen Carry Return Index 127.61 -.68%
- Emerging Markets Currency Volatility(VXY) 9.83 +.92%
- S&P 500 Implied Correlation 60.40 +6.6%
- ISE Sentiment Index 128 .0 +15.0 points
- Total Put/Call .87 +13.0%
- NYSE Arms .71 -41.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.31 +.95%
- US Energy High-Yield OAS 861.67 -.20%
- European Financial Sector CDS Index 66.47 +.30%
- Italian/German 10Y Yld Spread 144.5 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.68 +.54%
- Emerging Market CDS Index 185.19 +2.1%
- iBoxx Offshore RMB China Corporate High Yield Index 175.64 -.1%
- 2-Year Swap Spread 6.25 unch.
- TED Spread 14.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.0 -.5 basis point
- MBS 5/10 Treasury Spread 99.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 66.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.29 +.06%
- 3-Month T-Bill Yield .10% -1.0 basis point
- Yield Curve 46.25 unch.
- China Iron Ore Spot 106.45 USD/Metric Tonne +.17%
- Citi US Economic Surprise Index 236.2 +.1 point
- Citi Eurozone Economic Surprise Index 117.0 +51.0 points
- Citi Emerging Markets Economic Surprise Index -20.5 -3.8 points
- 10-Year TIPS Spread 1.51 +6.0 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 -396 open in Japan
- China A50 Futures: Indicating +39 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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