Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.3 -9.4%
- Bloomberg Global Risk On/Risk Off Index 3,535.0 +72.0 points
- Euro/Yen Carry Return Index 137.69 -.41%
- Emerging Markets Currency Volatility(VXY) 9.0 -.6%
- S&P 500 Implied Correlation 49.9 -1.6%
- ISE Sentiment Index 105.0 -38.0 points
- Total Put/Call .85 +28.8%
- NYSE Arms .99 +4.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.22 -1.1%
- US Energy High-Yield OAS 421.23 +.58%
- European Financial Sector CDS Index 57.73 -.98%
- Italian/German 10Y Yld Spread 109.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 84.76 -2.87%
- Emerging Market CDS Index 157.33 -2.1%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.11 -.36%
- 2-Year Swap Spread 7.75 -.25 basis point
- TED Spread 11.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 +.5 basis point
- MBS 5/10 Treasury Spread 66.0 +1.25 basis points
- IHS Markit CMBX BBB- 6 73.75 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.72 +.60%
- 3-Month T-Bill Yield .02% unch.
- Yield Curve 146.0 +2.0 basis points
- China Iron Ore Spot 200.0 USD/Metric Tonne +2.1%
- Citi US Economic Surprise Index 10.5 -2.8 points
- Citi Eurozone Economic Surprise Index 146.0 -6.3 points
- Citi Emerging Markets Economic Surprise Index 59.60 +.1 point
- 10-Year TIPS Spread 2.42 -3.0 basis points
- 93.0% chance of no change at Sept. 22nd meeting, 93.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +203 open in Japan
- China A50 Futures: Indicating -1 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/biotech/commodity/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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