Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.0 +6.0%
- Bloomberg Global Risk On/Risk Off Index 3,190.0 -168.0 points
- Euro/Yen Carry Return Index 137.10 -.6%
- Emerging Markets Currency Volatility(VXY) 8.6 -.7%
- S&P 500 Implied Correlation 36.2 +8.6%
- ISE Sentiment Index 147.0 +27.0 points
- Total Put/Call .90 +25.0%
- NYSE Arms 1.15 +26.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.29 +1.2%
- US Energy High-Yield OAS 389.53 -1.5%
- European Financial Sector CDS Index 54.72 -.82%
- Italian/German 10Y Yld Spread 103.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 83.51 +.70%
- Emerging Market CDS Index 154.21 +1.42%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.19 +.14%
- 2-Year Swap Spread 7.5 -.25 basis point
- TED Spread 10.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -.25 basis point
- MBS 5/10 Treasury Spread 71.5 +.75 basis point
- IHS Markit CMBX BBB- 6 74.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.17 -.43%
- 3-Month T-Bill Yield .04% +3.0 basis points
- Yield Curve 133.0 +1.0 basis point
- China Iron Ore Spot 206.0 USD/Metric Tonne -1.9%
- Citi US Economic Surprise Index 44.9 -5.1 points
- Citi Eurozone Economic Surprise Index 119.40 -3.2 points
- Citi Emerging Markets Economic Surprise Index 79.2 -7.1 points
- 10-Year TIPS Spread 2.34 -5.0 basis points
- 83.0% chance of no change at Sept. 22nd meeting, 83.2% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +114 open in Japan
- China A50 Futures: Indicating -146 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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