Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.7 +6.7%
- Euro/Yen Carry Return Index 125.83 -.08%
- Emerging Markets Currency Volatility(VXY) 7.02 +.57%
- S&P 500 Implied Correlation 35.45 +4.82%
- ISE Sentiment Index 87.0 +26.1%
- Total Put/Call 1.03 +28.8%
- NYSE Arms 1.36 1.0 -34.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.70 +.41%
- America Energy Sector High-Yield CDS Index 527.0 +.51%
- European Financial Sector CDS Index 64.32 +3.82%
- Italian/German 10Y Yld Spread 198.5 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.31 +.82%
- Emerging Market CDS Index 158.04 +.52%
- iBoxx Offshore RMB China Corporate High Yield Index 165.03 -.07%
- 2-Year Swap Spread 3.0 +.5 basis point
- TED Spread 18.0 +3.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -24.5 +1.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.33 +.05%
- 3-Month T-Bill Yield 2.06% -4.0 basis points
- Yield Curve 21.25 +.5 basis point
- China Iron Ore Spot 117.30 USD/Metric Tonne +2.15%
- Citi US Economic Surprise Index -33.4 +4.0 points
- Citi Eurozone Economic Surprise Index -46.60 -5.7 points
- Citi Emerging Markets Economic Surprise Index -17.3 +.2 point
- 10-Year TIPS Spread 1.78 +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 -198 open in Japan
- China A50 Futures: Indicating -131 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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