Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.17 -4.47%
- Euro/Yen Carry Return Index 121.49 -.32%
- Emerging Markets Currency Volatility(VXY) 9.96 -1.29%
- S&P 500 Implied Correlation 49.30 -1.71%
- ISE Sentiment Index 96.0 +20.0%
- Total Put/Call .79 -16.84%
- NYSE Arms 1.18 +10.17%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.75 -.88%
- America Energy Sector High-Yield CDS Index 725.0 -.33%
- European Financial Sector CDS Index 92.0 +4.1%
- Western Europe Sovereign Debt CDS Index 25.95 +.56%
- Asia Pacific Sovereign Debt CDS Index 47.52 -.79%
- Emerging Market CDS Index 252.43 -1.05%
- iBoxx Offshore RMB China Corporate High Yield Index 131.03 +.06%
- 2-Year Swap Spread 26.0 -.75 basis point
- TED Spread 39.25 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -49.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.20 -.17%
- 3-Month T-Bill Yield .31% unch.
- Yield Curve 86.0 -2.0 basis points
- China Import Iron Ore Spot $55.87/Metric Tonne -2.27%
- Citi US Economic Surprise Index 36.70 +3.9 points
- Citi Eurozone Economic Surprise Index 8.0 +10.0 points
- Citi Emerging Markets Economic Surprise Index -11.0 -.4 point
- 10-Year TIPS Spread 1.51% +4.0 basis points
- 24.4% chance of Fed rate hike at Sept. 21 meeting, 26.0% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +48 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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