Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.0 +6.9%
- Euro/Yen Carry Return Index 125.94 +.29%
- Emerging Markets Currency Volatility(VXY) 6.95 +.29%
- S&P 500 Implied Correlation 33.59 -.91%
- ISE Sentiment Index 63.0 -33.0%
- Total Put/Call .82 +3.8%
- NYSE Arms 1.36 +44.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.53 +2.72%
- America Energy Sector High-Yield CDS Index 524.0 +.50%
- European Financial Sector CDS Index 61.83 +6.59%
- Italian/German 10Y Yld Spread 196.5 +2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 57.86 +.62%
- Emerging Market CDS Index 157.17 +.05%
- iBoxx Offshore RMB China Corporate High Yield Index 165.14 +.05%
- 2-Year Swap Spread 2.5 -.5 basis point
- TED Spread 14.75 -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.29 -.05%
- 3-Month T-Bill Yield 2.10% -1.0 basis point
- Yield Curve 20.75 -.25 basis point
- China Iron Ore Spot 115.0 USD/Metric Tonne +.75%
- Citi US Economic Surprise Index -37.4 -.2 point
- Citi Eurozone Economic Surprise Index -40.90 -3.4 points
- Citi Emerging Markets Economic Surprise Index -17.5 +2.9 points
- 10-Year TIPS Spread 1.76 -2.0 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 +2 open in Japan
- China A50 Futures: Indicating +10 open in China
- DAX Futures: Indicating -2 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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