Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.66 +1.77%
- Euro/Yen Carry Return Index 122.04 -.63%
- Emerging Markets Currency Volatility(VXY) 10.94 +1.62%
- S&P 500 Implied Correlation 48.81 +.99%
- ISE Sentiment Index 92.0 -41.03%
- Total Put/Call .93 unch.
- NYSE Arms 1.23 +58.84%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.49 +.72%
- America Energy Sector High-Yield CDS Index 723.0 +.81%
- European Financial Sector CDS Index 98.62 +3.13%
- Western Europe Sovereign Debt CDS Index 26.80 +1.44%
- Asia Pacific Sovereign Debt CDS Index 47.93 +1.08%
- Emerging Market CDS Index 255.64 +.92%
- iBoxx Offshore RMB China Corporate High Yield Index 130.84 -.04%
- 2-Year Swap Spread 21.0 +.25 basis point
- TED Spread 39.0 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -48.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.40 -.63%
- 3-Month T-Bill Yield .31% +1.0 basis point
- Yield Curve 87.0 -3.0 basis points
- China Import Iron Ore Spot $56.02/Metric Tonne -1.48%
- Citi US Economic Surprise Index 27.90 +2.8 points
- Citi Eurozone Economic Surprise Index 2.8 -2.1 points
- Citi Emerging Markets Economic Surprise Index -10.70 +.5 point
- 10-Year TIPS Spread 1.48% -3.0 basis points
- 21.0% chance of Fed rate hike at Sept. 21 meeting, 22.7% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -73 open in Japan
- China A50 Futures: Indicating -41 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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