Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.6 -3.0%
- Euro/Yen Carry Return Index 125.78 -.08%
- Emerging Markets Currency Volatility(VXY) 7.03 +.29%
- S&P 500 Implied Correlation 35.34 -2.13%
- ISE Sentiment Index 109.0 +23.9%
- Total Put/Call .95 -5.0%
- NYSE Arms .92 -32.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.27 -2.0%
- America Energy Sector High-Yield CDS Index 632.0 +2.8%
- European Financial Sector CDS Index 61.71 +.73%
- Italian/German 10Y Yld Spread 186.5 -1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.66 +.14%
- Emerging Market CDS Index 159.21 -1.41%
- iBoxx Offshore RMB China Corporate High Yield Index 164.77 -.07%
- 2-Year Swap Spread 3.0 -.25 basis point
- TED Spread 19.5 +3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.94 +.42%
- 3-Month T-Bill Yield 2.05% -7.0 basis points
- Yield Curve 26.5 +4.5 basis points
- China Iron Ore Spot 113.95 USD/Metric Tonne -.57%
- Citi US Economic Surprise Index -41.50 +4.8 points
- Citi Eurozone Economic Surprise Index -8.80 unch.
- Citi Emerging Markets Economic Surprise Index -29.80 -1.4 points
- 10-Year TIPS Spread 1.75 -1.0 basis point
- 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 +119 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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