Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.7 +1.0%
- Euro/Yen Carry Return Index 125.62 -.04%
- Emerging Markets Currency Volatility(VXY) 6.92 -.43%
- S&P 500 Implied Correlation 36.2 +3.2%
- ISE Sentiment Index 123.0 +69.9%
- Total Put/Call .99 +19.1%
- NYSE Arms 1.26 +20.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.41 +.16%
- America Energy Sector High-Yield CDS Index 641.0 +1.84%
- European Financial Sector CDS Index 60.99 -1.15%
- Italian/German 10Y Yld Spread 193.0 +7.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.37 -2.27%
- Emerging Market CDS Index 160.25 +.30%
- iBoxx Offshore RMB China Corporate High Yield Index 164.79 +.08%
- 2-Year Swap Spread 2.5 -.5 basis point
- TED Spread 26.0 +7.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -20.25 -4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.78 -.29%
- 3-Month T-Bill Yield 2.06% +1.0 basis point
- Yield Curve 23.25 -3.25 basis points
- China Iron Ore Spot 114.26 USD/Metric Tonne -2.07%
- Citi US Economic Surprise Index -41.60 -.1 point
- Citi Eurozone Economic Surprise Index -8.80 unch.
- Citi Emerging Markets Economic Surprise Index -29.0 +.8 point
- 10-Year TIPS Spread 1.80 +5.0 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 -106 open in Japan
- China A50 Futures: Indicating -47 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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