Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.73 +3.16%
- Euro/Yen Carry Return Index 135.33 +.38%
- Emerging Markets Currency Volatility(VXY) 9.60 +.42%
- S&P 500 Implied Correlation 35.31 +4.1%
- ISE Sentiment Index 73.0 -42.9%
- Total Put/Call .71 unch.
- NYSE Arms 1.06 +24.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.51 -.68%
- America Energy Sector High-Yield CDS Index 377.0 -.28%
- European Financial Sector CDS Index 81.18 -3.49%
- Italian/German 10Y Yld Spread 232.50 -4.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.80 +1.59%
- Emerging Market CDS Index 186.17 +1.09%
- iBoxx Offshore RMB China Corporate High Yield Index 149.79 -.01%
- 2-Year Swap Spread 26.5 unch.
- TED Spread 40.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.57 -.01%
- 3-Month T-Bill Yield 1.93% +1.0 basis point
- Yield Curve 40.0 -2.0 basis points
- China Iron Ore Spot 65.87 USD/Metric Tonne +.26%
- Citi US Economic Surprise Index 9.60 -1.6 points
- Citi Eurozone Economic Surprise Index -100.30 -.5 point
- Citi Emerging Markets Economic Surprise Index -17.0 +.7 point
- 10-Year TIPS Spread 2.14 unch.
- 82.9% chance of Fed rate hike at Sept. 26th meeting, 83.8% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -41 open in Japan
- China A50 Futures: Indicating -64 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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