Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.3 +.5%
- Euro/Yen Carry Return Index 123.48 -.31%
- Emerging Markets Currency Volatility(VXY) 8.59 -.69%
- S&P 500 Implied Correlation 45.57 -1.47%
- ISE Sentiment Index 73.0 -5.2%
- Total Put/Call 1.15 +3.6%
- NYSE Arms 1.15 +11.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.09 +1.76%
- America Energy Sector High-Yield CDS Index 562.0 +2.48%
- European Financial Sector CDS Index 69.76 +.48%
- Italian/German 10Y Yld Spread 200.0 -4.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 69.86 +2.2%
- Emerging Market CDS Index 183.30 +.34%
- iBoxx Offshore RMB China Corporate High Yield Index 164.93 -.03%
- 2-Year Swap Spread -1.0 -1.25 basis points
- TED Spread 19.25 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -8.5 +5.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.08 -.13%
- 3-Month T-Bill Yield 2.0% -2.0 basis points
- Yield Curve 10.5 -3.75 basis points
- China Iron Ore Spot 89.25 USD/Metric Tonne +.18%
- Citi US Economic Surprise Index -33.5 +1.7 points
- Citi Eurozone Economic Surprise Index -53.3 -2.6 points
- Citi Emerging Markets Economic Surprise Index -21.2 -.9 point
- 10-Year TIPS Spread 1.60 +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 +39 open in Japan
- China A50 Futures: Indicating -34 open in China
- DAX Futures: Indicating +55 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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