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) 25.4 +5.5%
- Euro/Yen Carry Return Index 128.61 +.28%
- Emerging Markets Currency Volatility(VXY) 10.2 +2.4%
- S&P 500 Implied Correlation 60.0 +3.7%
- ISE Sentiment Index 146 .0 +36.0 points
- Total Put/Call .76 +4.1%
- NYSE Arms 1.31 +4.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.62 +1.04%
- US Energy High-Yield OAS 854.83 +.16%
- European Financial Sector CDS Index 73.12 +5.3%
- Italian/German 10Y Yld Spread 150.0 -.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 73.87 -1.03%
- Emerging Market CDS Index 192.73 +2.1%
- iBoxx Offshore RMB China Corporate High Yield Index 176.84 +.05%
- 2-Year Swap Spread 6.75 -1.0 basis point
- TED Spread 17.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 +1.75 basis points
- MBS 5/10 Treasury Spread 90.75 -1.25 basis points
- IHS Markit CMBX BBB- 6 67.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.32 -.23%
- 3-Month T-Bill Yield .09% -1.0 basis point
- Yield Curve 44.25 +.5 basis point
- China Iron Ore Spot 103.49 USD/Metric Tonne -1.19%
- Citi US Economic Surprise Index 247.1 +17.1 points
- Citi Eurozone Economic Surprise Index 128.80 -19.5 points
- Citi Emerging Markets Economic Surprise Index -18.1 +1.5 points
- 10-Year TIPS Spread 1.52 -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 -134 open in Japan
- China A50 Futures: Indicating -122 open in China
- DAX Futures: Indicating +37 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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