Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.08 +1.63%
- Euro/Yen Carry Return Index 120.07 -1.19%
- Emerging Markets Currency Volatility(VXY) 10.06 +.5%
- S&P 500 Implied Correlation 49.93 -1.27%
- ISE Sentiment Index 81.0 +8.0%
- Total Put/Call .94 +3.30%
- NYSE Arms .75 -34.56%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.46 +1.48%
- America Energy Sector High-Yield CDS Index 753.0 +2.36%
- European Financial Sector CDS Index 96.35 +3.70%
- Western Europe Sovereign Debt CDS Index 25.65 -.89%
- Asia Pacific Sovereign Debt CDS Index 49.0 +.71%
- Emerging Market CDS Index 260.53 +1.74%
- iBoxx Offshore RMB China Corporate High Yield Index 131.26 +.11%
- 2-Year Swap Spread 21.5 -3.75 basis points
- TED Spread 43.75 +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -53.5 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.79 -.15%
- 3-Month T-Bill Yield .30% unch.
- Yield Curve 80.50 -3.5 basis points
- China Import Iron Ore Spot $58.08/Metric Tonne +2.15%
- Citi US Economic Surprise Index 43.10 +4.5 points
- Citi Eurozone Economic Surprise Index 10.4 -.4 point
- Citi Emerging Markets Economic Surprise Index -8.50 +1.6 points
- 10-Year TIPS Spread 1.50% unch.
- 28.0% chance of Fed rate hike at Sept. 21 meeting, 29.5% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +67 open in Japan
- China A50 Futures: Indicating +10 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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