Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.72 -5.05%
- Euro/Yen Carry Return Index 125.63 +.08%
- Emerging Markets Currency Volatility(VXY) 6.92 -.14%
- S&P 500 Implied Correlation 35.8 -4.48%
- ISE Sentiment Index 105.0 +8.25%
- Total Put/Call .96 -4.0%
- NYSE Arms .96 -23.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.76 -1.97%
- America Energy Sector High-Yield CDS Index 642.0 +.05%
- European Financial Sector CDS Index 58.50 -4.09%
- Italian/German 10Y Yld Spread 200.0 +7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.07 -.59%
- Emerging Market CDS Index 159.48 -.26%
- iBoxx Offshore RMB China Corporate High Yield Index 164.89 +.06%
- 2-Year Swap Spread 2.25 -.25 basis point
- TED Spread 19.0 -7.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -17.5 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.75 -.09%
- 3-Month T-Bill Yield 2.07% +1.0 basis point
- Yield Curve 23.25 unch.
- China Iron Ore Spot 113.53 USD/Metric Tonne -.39%
- Citi US Economic Surprise Index -42.10 -.5 point
- Citi Eurozone Economic Surprise Index -8.20 +.6 point
- Citi Emerging Markets Economic Surprise Index -24.3 +4.7 points
- 10-Year TIPS Spread 1.79 -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 -16 open in Japan
- China A50 Futures: Indicating -34 open in China
- DAX Futures: Indicating +8 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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