Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.4 -17.1%
- Euro/Yen Carry Return Index 123.90 +.49%
- Emerging Markets Currency Volatility(VXY) 8.66 -7.4%
- S&P 500 Implied Correlation 46.44 -9.5%
- ISE Sentiment Index 71.0 +10.9%
- Total Put/Call 1.13 -10.3%
- NYSE Arms 1.11 -36.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.50 -2.36%
- America Energy Sector High-Yield CDS Index 548.0 +.81%
- European Financial Sector CDS Index 69.43 -1.85%
- Italian/German 10Y Yld Spread 204.75 -3.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 68.75 +2.5%
- Emerging Market CDS Index 183.26 -1.81%
- iBoxx Offshore RMB China Corporate High Yield Index 164.97 unch.
- 2-Year Swap Spread .25 +1.5 basis points
- TED Spread 19.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.12 +.19%
- 3-Month T-Bill Yield 2.02% +2.0 basis points
- Yield Curve 14.25 +1.75 basis points
- China Iron Ore Spot 93.0 USD/Metric Tonne -.24%
- Citi US Economic Surprise Index -35.2 +1.5 points
- Citi Eurozone Economic Surprise Index -50.7 +4.5 points
- Citi Emerging Markets Economic Surprise Index -20.3 +.9 point
- 10-Year TIPS Spread 1.62 +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 -30 open in Japan
- China A50 Futures: Indicating -73 open in China
- DAX Futures: Indicating +77 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail/biotech/medical/industrial sector longs
- 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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