Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 30.6 -3.8%
- Euro/Yen Carry Return Index 125.0 +.11%
- Emerging Markets Currency Volatility(VXY) 10.5 -.19%
- S&P 500 Implied Correlation 64.3 -3.9%
- ISE Sentiment Index 145.0 +41.0 points
- Total Put/Call .76 -5.0%
- NYSE Arms 1.06 +50%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.86 -3.66%
- US Energy High-Yield OAS 923.81 -.14%
- European Financial Sector CDS Index 76.83 -4.59%
- Italian/German 10Y Yld Spread 166.5 -6.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 84.19 -1.17%
- Emerging Market CDS Index 189.84 -6.64%
- iBoxx Offshore RMB China Corporate High Yield Index 169.37 +.09%
- 2-Year Swap Spread 6.25 unch.
- TED Spread 16.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +2.5 basis points
- MBS 5/10 Treasury Spread 113.0-2.0 basis points
- IHS Markit CMBX BBB- 6 70.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.86 +.43%
- 3-Month T-Bill Yield .14% unch.
- Yield Curve 51.75 +1.5 basis points
- China Iron Ore Spot 99.45 USD/Metric Tonne +.05%
- Citi US Economic Surprise Index 145.40 +17.2 points
- Citi Eurozone Economic Surprise Index -92.20 +75.9 points
- Citi Emerging Markets Economic Surprise Index -10.9 -2.0 points
- 10-Year TIPS Spread 1.36 +4.0 basis points
- 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +96 open in Japan
- China A50 Futures: Indicating -11 open in China
- DAX Futures: Indicating -69 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/industrial/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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