Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.2 +.9%
- Bloomberg Global Risk On/Risk Off Index 3,327.0 -83.0 points
- Euro/Yen Carry Return Index 137.92 +.15%
- Emerging Markets Currency Volatility(VXY) 8.6 -.4%
- S&P 500 Implied Correlation 49.2 +2.3%
- ISE Sentiment Index 141.0 +4.0 points
- Total Put/Call .59 -9.2%
- NYSE Arms .96 -28.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.04 -.69%
- US Energy High-Yield OAS 412.83 +.08%
- European Financial Sector CDS Index 56.81 -.74%
- Italian/German 10Y Yld Spread 107.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 83.54 +.51%
- Emerging Market CDS Index 150.59 -1.8%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.1 -.47%
- 2-Year Swap Spread 6.75 -.25 basis point
- TED Spread 10.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 -.25 basis point
- MBS 5/10 Treasury Spread 68.75 +.75 basis point
- IHS Markit CMBX BBB- 6 75.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.70 -.03%
- 3-Month T-Bill Yield .02% unch.
- Yield Curve 138.0 -3.0 basis points
- China Iron Ore Spot 205.50 USD/Metric Tonne +1.6%
- Citi US Economic Surprise Index 13.8 +.2 point
- Citi Eurozone Economic Surprise Index 128.5 -2.0 points
- Citi Emerging Markets Economic Surprise Index 64.0 +.9 point
- 10-Year TIPS Spread 2.34 -4.0 basis points
- 97.0% chance of no change at Sept. 22nd meeting, 97.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +60 open in Japan
- China A50 Futures: Indicating -100 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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