Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.5 -10.7%
- Euro/Yen Carry Return Index 133.50 -.09%
- Emerging Markets Currency Volatility(VXY) 9.55 -.42%
- S&P 500 Implied Correlation 37.80 -2.22%
- ISE Sentiment Index 153.0 +35.4%
- Total Put/Call .91 -17.3%
- NYSE Arms .91 -22.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.04 -.48%
- America Energy Sector High-Yield CDS Index 403.0 +.38%
- European Financial Sector CDS Index 88.24 +.65%
- Italian/German 10Y Yld Spread 254.75 +5.0 basis points
- Asia Pacific Sovereign Debt CDS Index 14.06 +.11%
- Emerging Market CDS Index 184.74 -.88%
- iBoxx Offshore RMB China Corporate High Yield Index 149.37 -.09%
- 2-Year Swap Spread 26.0 -.5 basis point
- TED Spread 42.0 -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.80 -.1%
- 3-Month T-Bill Yield 1.92% +3.0 basis points
- Yield Curve 35.0 +.25 basis point
- China Iron Ore Spot 64.0 USD/Metric Tonne +.19%
- Citi US Economic Surprise Index 3.50 +.2 point
- Citi Eurozone Economic Surprise Index -65.20 +.8 point
- Citi Emerging Markets Economic Surprise Index -13.0 +2.6 points
- 10-Year TIPS Spread 2.13 +1.0 basis point
- 78.8% chance of Fed rate hike at Sept. 26th meeting, 80.0% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +23 open in Japan
- China A50 Futures: Indicating -40 open in China
- DAX Futures: Indicating +58 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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