Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.2 +8.5%
- Euro/Yen Carry Return Index 132.90 -.36%
- Emerging Markets Currency Volatility(VXY) 9.85 +3.9%
- S&P 500 Implied Correlation 40.16 +6.8%
- ISE Sentiment Index 83.0 -29.1%
- Total Put/Call 1.06 +16.5%
- NYSE Arms .89 -10.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.48 +2.29%
- America Energy Sector High-Yield CDS Index 400.0 -1.06%
- European Financial Sector CDS Index 88.92 +.77%
- Italian/German 10Y Yld Spread 248.75 -6.0 basis points
- Asia Pacific Sovereign Debt CDS Index 14.31 +1.78%
- Emerging Market CDS Index 191.52 +3.48%
- iBoxx Offshore RMB China Corporate High Yield Index 149.37 unch.
- 2-Year Swap Spread 25.75 -.25 basis point
- TED Spread 41.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.38 -.56%
- 3-Month T-Bill Yield 1.92% unch.
- Yield Curve 32.75 -2.25 basis points
- China Iron Ore Spot 64.37 USD/Metric Tonne +.58%
- Citi US Economic Surprise Index 1.10 -2.4 points
- Citi Eurozone Economic Surprise Index -62.10 -3.1 points
- Citi Emerging Markets Economic Surprise Index -12.50 -.5 point
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 77.3% chance of Fed rate hike at Sept. 26th meeting, 78.5% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -27 open in Japan
- China A50 Futures: Indicating -43 open in China
- DAX Futures: Indicating -60 open in Germany
Portfolio:
- Higher: On gains in my industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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