Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.77 -6.3%
- Euro/Yen Carry Return Index 136.60 +.40%
- Emerging Markets Currency Volatility(VXY) 10.29 +2.69%
- S&P 500 Implied Correlation 32.10 -3.37%
- ISE Sentiment Index 139.0 +73.75%
- Total Put/Call .80 -21.57%
- NYSE Arms .85 -43.91%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.68 -.81%
- America Energy Sector High-Yield CDS Index 386.0 -.59%
- European Financial Sector CDS Index 79.0 -3.29%
- Italian/German 10Y Yld Spread 226.75 -5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 14.31 -2.79%
- Emerging Market CDS Index 177.12 -1.56%
- iBoxx Offshore RMB China Corporate High Yield Index 147.93 -.14%
- 2-Year Swap Spread 23.5 unch.
- TED Spread 38.75 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.59 +.34%
- 3-Month T-Bill Yield 1.97% +1.0 basis point
- Yield Curve 26.0 -1.0 basis point
- China Iron Ore Spot 63.72 USD/Metric Tonne +.11%
- Citi US Economic Surprise Index 14.90 +1.0 point
- Citi Eurozone Economic Surprise Index -35.60 +.6 point
- Citi Emerging Markets Economic Surprise Index -2.0 -2.3 points
- 10-Year TIPS Spread 2.11 -1.0 basis point
- 87.9% chance of Fed rate hike at Sept. 26th meeting, 88.2% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +147 open in Japan
- China A50 Futures: Indicating -27 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Higher: On gains in my industrial/biotech/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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