Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.1 -7.2%
- Euro/Yen Carry Return Index 126.68 +.04%
- Emerging Markets Currency Volatility(VXY) 7.6 +.93%
- S&P 500 Implied Correlation 33.87 -2.5%
- ISE Sentiment Index 102.0 +25.9%
- Total Put/Call .88 -5.38%
- NYSE Arms .88 unch.
Credit Investor Angst:
- North American Investment Grade CDS Index 52.67 -2.47%
- America Energy Sector High-Yield CDS Index 610.0 -.02%
- European Financial Sector CDS Index 60.66 -3.89%
- Italian/German 10Y Yld Spread 204.25 -4.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.25 -1.68%
- Emerging Market CDS Index 162.19 -2.07%
- iBoxx Offshore RMB China Corporate High Yield Index 164.84 +.02%
- 2-Year Swap Spread 2.25 -.25 basis point
- TED Spread 11.25 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.25 +4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.61 +.53%
- 3-Month T-Bill Yield 2.18% -4.0 basis points
- Yield Curve 22.75 +7.0 basis points
- China Iron Ore Spot 114.0 USD/Metric Tonne -.54%
- Citi US Economic Surprise Index -56.30 +.5 point
- Citi Eurozone Economic Surprise Index -8.90 +4.2 points
- Citi Emerging Markets Economic Surprise Index -34.60 +.4 point
- 10-Year TIPS Spread 1.75 +3.0 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 +27 open in Japan
- China A50 Futures: Indicating +31 open in China
- DAX Futures: Indicating +6 open in Germany
Portfolio:
- Higher: On gains in my tech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
- Market Exposure: 100% Net Long
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