Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.2 +2.9%
- Euro/Yen Carry Return Index 126.0 -.04%
- Emerging Markets Currency Volatility(VXY) 7.01 +.43%
- S&P 500 Implied Correlation 34.6 +3.4%
- ISE Sentiment Index 94.0 -11.3%
- Total Put/Call .96 +7.9%
- NYSE Arms 1.15 -19.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.83 -.19%
- America Energy Sector High-Yield CDS Index 615.0 +1.07%
- European Financial Sector CDS Index 61.26 +1.25%
- Italian/German 10Y Yld Spread 188.25 +2.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.78 +1.76%
- Emerging Market CDS Index 160.25 +.44%
- iBoxx Offshore RMB China Corporate High Yield Index 164.77 -.17%
- 2-Year Swap Spread 3.25 +.25 basis point
- TED Spread 16.25 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.65 +.03%
- 3-Month T-Bill Yield 2.12% -2.0 basis points
- Yield Curve 22.0 -4.0 basis points
- China Iron Ore Spot 115.35 USD/Metric Tonne -.29%
- Citi US Economic Surprise Index -46.30 -4.3 points
- Citi Eurozone Economic Surprise Index -8.80 unch.
- Citi Emerging Markets Economic Surprise Index -28.40 +. point
- 10-Year TIPS Spread 1.76 -4.0 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 -69 open in Japan
- China A50 Futures: Indicating -44 open in China
- DAX Futures: Indicating -24 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/biotech sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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