Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 18.1 +31.3%
- Euro/Yen Carry Return Index 133.31 -.12%
- Emerging Markets Currency Volatility(VXY) 9.63 -1.03%
- S&P 500 Implied Correlation 41.2 +25.9%
- ISE Sentiment Index 119.0 +.85%
- Total Put/Call 1.11 +30.6%
- NYSE Arms 1.19 +4.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.81 +3.33%
- America Energy Sector High-Yield CDS Index 402.0 -1.17%
- European Financial Sector CDS Index 87.67 +6.64%
- Italian/German 10Y Yld Spread 249.75 +14.0 basis points
- Asia Pacific Sovereign Debt CDS Index 14.04 +2.33%
- Emerging Market CDS Index 188.81 +4.18%
- iBoxx Offshore RMB China Corporate High Yield Index 149.50 -.05%
- 2-Year Swap Spread 26.5 unch.
- TED Spread 44.75 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.82 -.35%
- 3-Month T-Bill Yield 1.89% -1.0 basis point
- Yield Curve 34.75 -1.0 basis point
- China Iron Ore Spot 64.30 USD/Metric Tonne +.05%
- Citi US Economic Surprise Index 3.30 +.1 point
- Citi Eurozone Economic Surprise Index -66.0 +2.1 points
- Citi Emerging Markets Economic Surprise Index -15.60 +2.7 points
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 77.8% chance of Fed rate hike at Sept. 26th meeting, 79.0% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -263 open in Japan
- China A50 Futures: Indicating -129 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Lower: On losses in my retail/biotech/industrial/tech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
- Market Exposure: 50% Net Long
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