Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.69 -4.94%
- Euro/Yen Carry Return Index 133.11 +.25%
- Emerging Markets Currency Volatility(VXY) 9.81 -2.29%
- S&P 500 Implied Correlation 34.94 -2.73%
- ISE Sentiment Index 118.0 +38.8%
- Total Put/Call .86 +3.61%
- NYSE Arms 1.02 +7.15%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.95 +1.2%
- America Energy Sector High-Yield CDS Index 395.0 -.35%
- European Financial Sector CDS Index 77.89 -1.82%
- Italian/German 10Y Yld Spread 217.25 -1.25 basis points
- Asia Pacific Sovereign Debt CDS Index 13.34 -2.56%
- Emerging Market CDS Index 188.90 -2.27%
- iBoxx Offshore RMB China Corporate High Yield Index 149.80 -.11%
- 2-Year Swap Spread 26.0 +.25 basis point
- TED Spread 40.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 +3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.62 +.05%
- 3-Month T-Bill Yield 1.93% unch.
- Yield Curve 36.75 +2.0 basis points
- China Iron Ore Spot 64.10 USD/Metric Tonne -.09%
- Citi US Economic Surprise Index 10.10 -1.1 points
- Citi Eurozone Economic Surprise Index -86.30 +.6 point
- Citi Emerging Markets Economic Surprise Index -19.0 +1.0 point
- 10-Year TIPS Spread 2.13 +1.0 basis point
- 82.4% chance of Fed rate hike at Sept. 26th meeting, 83.4% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -55 open in Japan
- China A50 Futures: Indicating -68 open in China
- DAX Futures: Indicating -6 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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