Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 26.3 -6.0%
- Euro/Yen Carry Return Index 126.88 +.25%
- Emerging Markets Currency Volatility(VXY) 9.58 unch.
- S&P 500 Implied Correlation 55.9 -2.1%
- ISE Sentiment Index 100.0 -9.0 points
- Total Put/Call .70 unch.
- NYSE Arms 1.79 +36.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.02 -.54%
- US Energy High-Yield OAS 895.75 +.04%
- European Financial Sector CDS Index 70.99 +.04%
- Italian/German 10Y Yld Spread 165.0 -.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 78.69 -.58%
- Emerging Market CDS Index 19224 -2.73%
- iBoxx Offshore RMB China Corporate High Yield Index 175.18 +.05%
- 2-Year Swap Spread 7.75 +.5 basis point
- TED Spread 16.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -7.0 -1.0 basis point
- MBS 5/10 Treasury Spread 99.75 +3.5 basis points
- IHS Markit CMBX BBB- 6 67.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.69 unch.
- 3-Month T-Bill Yield .11% +1.0 basis point
- Yield Curve 48.0 +1.25 basis points
- China Iron Ore Spot 107.01 USD/Metric Tonne -.02%
- Citi US Economic Surprise Index 259.1 -11.7 points
- Citi Eurozone Economic Surprise Index -7.1 +6.9 points
- Citi Emerging Markets Economic Surprise Index -11.1 +.2 point
- 10-Year TIPS Spread 1.40 -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 +18 open in Japan
- China A50 Futures: Indicating +21 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/industrial/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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