Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.9 +.23%
- Euro/Yen Carry Return Index 126.29 -.18%
- Emerging Markets Currency Volatility(VXY) 7.85 -.13%
- S&P 500 Implied Correlation 32.51 +1.2%
- ISE Sentiment Index 115.0 +64.3%
- Total Put/Call .76 -13.6%
- NYSE Arms 1.0 -25.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.69 -1.33%
- America Energy Sector High-Yield CDS Index 606.0 -.51%
- European Financial Sector CDS Index 59.28 -1.68%
- Italian/German 10Y Yld Spread 197.0 -23.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 61.5 -.12%
- Emerging Market CDS Index 163.11 -.13%
- iBoxx Offshore RMB China Corporate High Yield Index 164.37 +.08%
- 2-Year Swap Spread 3.5 -.75 basis point
- TED Spread 18.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.75 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.68 +.10%
- 3-Month T-Bill Yield 2.20% +3.0 basis points
- Yield Curve 18.75 -2.5 basis points
- China Iron Ore Spot 116.50 USD/Metric Tonne -.7%
- Citi US Economic Surprise Index -65.40 -6.1 points
- Citi Eurozone Economic Surprise Index -2.6 +2.0 points
- Citi Emerging Markets Economic Surprise Index -34.70 -.6 point
- 10-Year TIPS Spread 1.65 -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 +60 open in Japan
- China A50 Futures: Indicating -54 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/retail/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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