Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.9 +.4%
- Euro/Yen Carry Return Index 128.61 +.8%
- Emerging Markets Currency Volatility(VXY) 9.6 +2.5%
- S&P 500 Implied Correlation 54.9 +4.0%
- ISE Sentiment Index 141 .0 +48.0 points
- Total Put/Call .72 +1.41%
- NYSE Arms 1.10 +48.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.57 -.72%
- US Energy High-Yield OAS 865.61 -.67%
- European Financial Sector CDS Index 66.62 +1.7%
- Italian/German 10Y Yld Spread 152.75 -2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 76.06 -.99%
- Emerging Market CDS Index 171.33 -2.2%
- iBoxx Offshore RMB China Corporate High Yield Index 175.66 +.98%
- 2-Year Swap Spread 6.5 -1.0 basis point
- TED Spread 15.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 +2.25 basis points
- MBS 5/10 Treasury Spread 98.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 66.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.44 +.1%
- 3-Month T-Bill Yield .11% unch.
- Yield Curve 46.25 unch.
- China Iron Ore Spot 108.12 USD/Metric Tonne +.75%
- Citi US Economic Surprise Index 239.9 -66 points
- Citi Eurozone Economic Surprise Index 62.8 +5.1 points
- Citi Emerging Markets Economic Surprise Index -8.8 -.9 point
- 10-Year TIPS Spread 1.47 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 +24 open in Japan
- China A50 Futures: Indicating -183 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/medical/consumer staple sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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