Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.44 -8.2%
- Euro/Yen Carry Return Index 133.43 +.49%
- Emerging Markets Currency Volatility(VXY) 9.78 -.91%
- S&P 500 Implied Correlation 34.12 -3.39%
- ISE Sentiment Index 101.0 +5.21%
- Total Put/Call .82 -18.81%
- NYSE Arms .84 -22.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.49 -.11%
- America Energy Sector High-Yield CDS Index 406.0 +1.56%
- European Financial Sector CDS Index 82.21 -.58%
- Italian/German 10Y Yld Spread 235.75 -4.0 basis points
- Asia Pacific Sovereign Debt CDS Index 13.75 -1.15%
- Emerging Market CDS Index 181.34 -3.47%
- iBoxx Offshore RMB China Corporate High Yield Index 149.58 -.10%
- 2-Year Swap Spread 26.5 unch.
- TED Spread 42.0 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.01 +.66%
- 3-Month T-Bill Yield 1.90% -3.0 basis points
- Yield Curve 35.75 +.25 basis point
- China Iron Ore Spot 64.88 USD/Metric Tonne +1.28%
- Citi US Economic Surprise Index 3.20 -5.4 points
- Citi Eurozone Economic Surprise Index -68.10 +17.6 points
- Citi Emerging Markets Economic Surprise Index -18.30 +.5 point
- 10-Year TIPS Spread 2.13 -1.0 basis point
- 78.3% chance of Fed rate hike at Sept. 26th meeting, 79.5% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +64 open in Japan
- China A50 Futures: Indicating -42 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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