Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 28.8 +5.4%
- Euro/Yen Carry Return Index 126.4 +.9%
- Emerging Markets Currency Volatility(VXY) 9.72 -1.22%
- S&P 500 Implied Correlation 55.1 -4.0%
- ISE Sentiment Index 114.0 -10.0 points
- Total Put/Call .68 -17.1%
- NYSE Arms 1.07 +62.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.3 -2.2%
- US Energy High-Yield OAS 910.07 -.81%
- European Financial Sector CDS Index 73.26 -4.65%
- Italian/German 10Y Yld Spread 165.50 -3.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 80.22 -.37%
- Emerging Market CDS Index 195.21 +1.46%
- iBoxx Offshore RMB China Corporate High Yield Index 174.22 unch.
- 2-Year Swap Spread 6.25 unch.
- TED Spread 14.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -1.75 basis points
- MBS 5/10 Treasury Spread 97.0 +3.0 basis points
- IHS Markit CMBX BBB- 6 68.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.77 +.06%
- 3-Month T-Bill Yield .13% +1.0 basis point
- Yield Curve 48.0 +2.0 basis points
- China Iron Ore Spot 107.98 USD/Metric Tonne +.06%
- Citi US Economic Surprise Index 236.3 +10.4 points
- Citi Eurozone Economic Surprise Index -27.20 +11.6 points
- Citi Emerging Markets Economic Surprise Index -20.20 +3.0 points
- 10-Year TIPS Spread 1.42 +3.0 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 -40 open in Japan
- China A50 Futures: Indicating -89 open in China
- DAX Futures: Indicating -123 open in Germany
Portfolio:
- Higher: On gains in my industrial/consumer staple/biotech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long