Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.07 +14.3%
- Euro/Yen Carry Return Index 132.53 -.93%
- Emerging Markets Currency Volatility(VXY) 10.11 +2.22%
- S&P 500 Implied Correlation 36.71 +7.1%
- ISE Sentiment Index 82.0 +30.2%
- Total Put/Call .87 -14.71%
- NYSE Arms .92 +10.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.66 +3.1%
- America Energy Sector High-Yield CDS Index 396.0 +1.22%
- European Financial Sector CDS Index 79.33 +.90%
- Italian/German 10Y Yld Spread 218.5 +3.0 basis points
- Asia Pacific Sovereign Debt CDS Index 13.88 +4.44%
- Emerging Market CDS Index 196.03 +1.35%
- iBoxx Offshore RMB China Corporate High Yield Index 149.94 -.01%
- 2-Year Swap Spread 25.75 -1.0 basis point
- TED Spread 40.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 +3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.64 -.23%
- 3-Month T-Bill Yield 1.93% +1.0 basis point
- Yield Curve 34.75 -3.0 basis points
- China Iron Ore Spot 63.98 USD/Metric Tonne +.71%
- Citi US Economic Surprise Index 11.20 -1.0 point
- Citi Eurozone Economic Surprise Index -86.90 +3.6 points
- Citi Emerging Markets Economic Surprise Index -20.0 +1.9 points
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 81.2% chance of Fed rate hike at Sept. 26th meeting, 82.2% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -33 open in Japan
- China A50 Futures: Indicating -64 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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