Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.78 +6.7%
- Euro/Yen Carry Return Index 133.45 -.19%
- Emerging Markets Currency Volatility(VXY) 9.90 +.71%
- S&P 500 Implied Correlation 35.39 +2.08%
- ISE Sentiment Index 47.0 -58.0%
- Total Put/Call .93 unch.
- NYSE Arms 1.07 -7.12%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.31 +1.22%
- America Energy Sector High-Yield CDS Index 394.0 +3.02%
- European Financial Sector CDS Index 78.56 +2.34%
- Italian/German 10Y Yld Spread 215.5 -5.25 basis points
- Asia Pacific Sovereign Debt CDS Index 13.21 +1.58%
- Emerging Market CDS Index 198.80 +5.2%
- iBoxx Offshore RMB China Corporate High Yield Index 149.95 +.06%
- 2-Year Swap Spread 26.75 +.25 basis point
- TED Spread 40.0 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -5.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.71 -.31%
- 3-Month T-Bill Yield 1.92% -1.0 basis point
- Yield Curve 37.75 +.75 basis point
- China Iron Ore Spot 65.86 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 12.20 -2.9 points
- Citi Eurozone Economic Surprise Index -90.50 +6.7 points
- Citi Emerging Markets Economic Surprise Index -21.90 +5.2 points
- 10-Year TIPS Spread 2.13 +1.0 basis point
- 84.5% chance of Fed rate hike at Sept. 26th meeting, 85.4% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -45 open in Japan
- China A50 Futures: Indicating -172 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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