Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.1 +1.1%
- Euro/Yen Carry Return Index 126.68 +.04%
- Emerging Markets Currency Volatility(VXY) 7.57 -1.7%
- S&P 500 Implied Correlation 34.8 -1.3%
- ISE Sentiment Index 86.0 +41.0%
- Total Put/Call 1.01 +7.5%
- NYSE Arms .93 -29.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.83 -1.03%
- America Energy Sector High-Yield CDS Index 610.0 +.3%
- European Financial Sector CDS Index 63.11 +1.11%
- Italian/German 10Y Yld Spread 208.75 -6.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.48 +2.18%
- Emerging Market CDS Index 165.69 -.85%
- iBoxx Offshore RMB China Corporate High Yield Index 164.81 +.1%
- 2-Year Swap Spread 2.5 -.75 basis point
- TED Spread 13.0 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.5 +3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.27 -.12%
- 3-Month T-Bill Yield 2.22% -1.0 basis point
- Yield Curve 15.75 +.25 basis point
- China Iron Ore Spot 116.0 USD/Metric Tonne -.62%
- Citi US Economic Surprise Index -56.80 -1.0 point
- Citi Eurozone Economic Surprise Index -13.10 -.1 point
- Citi Emerging Markets Economic Surprise Index -35.0 -.3 point
- 10-Year TIPS Spread 1.72 +2.0 basis points
- 99.8% chance of Fed rate cut at Sept. 18th meeting, 99.9% chance of cut at October 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -55 open in Japan
- China A50 Futures: Indicating -23 open in China
- DAX Futures: Indicating +8 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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