Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.24 -2.93%
- Euro/Yen Carry Return Index 125.14 -.13%
- Emerging Markets Currency Volatility(VXY) 6.95 +.29%
- S&P 500 Implied Correlation 32.70 -1.95%
- ISE Sentiment Index 94.0 -16.8%
- Total Put/Call .67 -10.7%
- NYSE Arms 1.01 +27.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.63 -3.26%
- America Energy Sector High-Yield CDS Index 647.0 +.12%
- European Financial Sector CDS Index 53.58 -3.79%
- Italian/German 10Y Yld Spread 187.0 -8.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 59.51 -3.1%
- Emerging Market CDS Index 156.26 -.36%
- iBoxx Offshore RMB China Corporate High Yield Index 164.98 -.02%
- 2-Year Swap Spread 3.25 +.25 basis point
- TED Spread 20.25 -5.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.0 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.51 +.07%
- 3-Month T-Bill Yield 2.08% +3.0 basis points
- Yield Curve 23.0 -.75 basis point
- China Iron Ore Spot 111.37 USD/Metric Tonne +.24%
- Citi US Economic Surprise Index -50.3 -5.4 points
- Citi Eurozone Economic Surprise Index -33.0 -24.5 points
- Citi Emerging Markets Economic Surprise Index -22.2 +.6 point
- 10-Year TIPS Spread 1.79 -2.0 basis points
- 100.0% chance of Fed rate cut at Sept. 18th meeting, 100.0% chance of cut at October 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +11 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating +27 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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