Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.9 -.11%
- Euro/Yen Carry Return Index 133.01 +.31%
- Emerging Markets Currency Volatility(VXY) 9.89 unch.
- S&P 500 Implied Correlation 41.07 +2.27%
- ISE Sentiment Index 72.0 +14.3%
- Total Put/Call 1.57 +45.37%
- NYSE Arms .74 -19.13%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.37 +1.15%
- America Energy Sector High-Yield CDS Index 402.0 +.34%
- European Financial Sector CDS Index 94.23 +5.97%
- Italian/German 10Y Yld Spread 246.0 -2.75 basis points
- Asia Pacific Sovereign Debt CDS Index 14.83 +3.67%
- Emerging Market CDS Index 191.0 -.52%
- iBoxx Offshore RMB China Corporate High Yield Index 148.75 -.42%
- 2-Year Swap Spread 26.5 +.75 basis point
- TED Spread 42.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -6.5 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.03 -.02%
- 3-Month T-Bill Yield 1.92% unch.
- Yield Curve 32.5 -.25 basis point
- China Iron Ore Spot 64.85 USD/Metric Tonne +.82%
- Citi US Economic Surprise Index -2.30 -3.4 points
- Citi Eurozone Economic Surprise Index -60.40 +1.7 points
- Citi Emerging Markets Economic Surprise Index -11.90 +.6 point
- 10-Year TIPS Spread 2.12 unch.
- 77.3% chance of Fed rate hike at Sept. 26th meeting, 78.5% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -60 open in Japan
- China A50 Futures: Indicating -50 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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