Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 24.2 -4.7%
- Euro/Yen Carry Return Index 128.14 +.42%
- Emerging Markets Currency Volatility(VXY) 10.02 +.2%
- S&P 500 Implied Correlation 58.6 -5.0%
- ISE Sentiment Index 110 .0 -15.0 points
- Total Put/Call .70 -14.6%
- NYSE Arms 1.22 +28.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.22 -1.87%
- US Energy High-Yield OAS 855.93 -.71%
- European Financial Sector CDS Index 69.43 -1.2%
- Italian/German 10Y Yld Spread 150.75 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.53 -.09%
- Emerging Market CDS Index 189.28 -.85%
- iBoxx Offshore RMB China Corporate High Yield Index 176.75 +.01%
- 2-Year Swap Spread 7.75 +.25 basis point
- TED Spread 17.0 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 +.5 basis point
- MBS 5/10 Treasury Spread 92.0 -4.25 basis points
- IHS Markit CMBX BBB- 6 66.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.40 +.09%
- 3-Month T-Bill Yield .10% unch.
- Yield Curve 43.75 -4.0 basis points
- China Iron Ore Spot 107.12 USD/Metric Tonne +1.52%
- Citi US Economic Surprise Index 230.0 -6.2 points
- Citi Eurozone Economic Surprise Index 148.30 +.7 point
- Citi Emerging Markets Economic Surprise Index -19.6 -.7 point
- 10-Year TIPS Spread 1.53 +2.0 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 +108 open in Japan
- China A50 Futures: Indicating -18 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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