Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 28.4 -3.8%
- Euro/Yen Carry Return Index 126.44 -.22%
- Emerging Markets Currency Volatility(VXY) 9.75 -.61%
- S&P 500 Implied Correlation 56.3 -1.7%
- ISE Sentiment Index 83.0 -22.0 points
- Total Put/Call .60 -28.6%
- NYSE Arms 1.6 +68.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.79 -2.09%
- US Energy High-Yield OAS 896.20 -1.34%
- European Financial Sector CDS Index 71.75 -3.12%
- Italian/German 10Y Yld Spread 163.5 -2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 79.20 -1.41%
- Emerging Market CDS Index 191.87 -2.27%
- iBoxx Offshore RMB China Corporate High Yield Index 174.85 +.07%
- 2-Year Swap Spread 6.75 unch.
- TED Spread 14.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.0 +1.75 basis points
- MBS 5/10 Treasury Spread 97.0 -2.0 basis points
- IHS Markit CMBX BBB- 6 67.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.83 +.13%
- 3-Month T-Bill Yield .13% unch.
- Yield Curve 48.0 +2.0 basis points
- China Iron Ore Spot 108.36 USD/Metric Tonne -.68%
- Citi US Economic Surprise Index 256.9 +13.5 points
- Citi Eurozone Economic Surprise Index -20.0 +5.3 points
- Citi Emerging Markets Economic Surprise Index -16.70 +5.4 points
- 10-Year TIPS Spread 1.41 +1.0 basis point
- 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 +5 open in Japan
- China A50 Futures: Indicating +26 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/biotech/medical/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long