Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.65 -6.6%
- Euro/Yen Carry Return Index 125.37 -.16%
- Emerging Markets Currency Volatility(VXY) 6.92 unch.
- S&P 500 Implied Correlation 33.82 -5.6%
- ISE Sentiment Index 109.0 +1.9%
- Total Put/Call .78 -21.21%
- NYSE Arms .85 -10.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.88 -3.97%
- America Energy Sector High-Yield CDS Index 647.0 +.48%
- European Financial Sector CDS Index 55.69 -4.80%
- Italian/German 10Y Yld Spread 195.75 -4.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 61.42 -2.62%
- Emerging Market CDS Index 157.11 -1.54%
- iBoxx Offshore RMB China Corporate High Yield Index 165.0 +.07%
- 2-Year Swap Spread 3.0 +.75 basis point
- TED Spread 25.50 +6.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -20.25 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.48 -.40%
- 3-Month T-Bill Yield 2.05% +-2.0 basis points
- Yield Curve 23.75 +.5 basis point
- China Iron Ore Spot 111.65 USD/Metric Tonne -1.37%
- Citi US Economic Surprise Index -44.90 -2.8 points
- Citi Eurozone Economic Surprise Index -8.50 -.3 point
- Citi Emerging Markets Economic Surprise Index -22.8 +1.5 points
- 10-Year TIPS Spread 1.81 +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 +80 open in Japan
- China A50 Futures: Indicating +24 open in China
- DAX Futures: Indicating +35 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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