Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 33.2 -.9%
- Euro/Yen Carry Return Index 124.14 -.44%
- Emerging Markets Currency Volatility(VXY) 10.96 +1.11%
- S&P 500 Implied Correlation 70.2 +3.8%
- ISE Sentiment Index 97.0 -6.0 points
- Total Put/Call .82 +7.9%
- NYSE Arms 1.20 -30.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.75 +3.84%
- US Energy High-Yield OAS 922.14 +1.23%
- European Financial Sector CDS Index 76.48 +3.0%
- Italian/German 10Y Yld Spread 178.75 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.75 +1.5%
- Emerging Market CDS Index 196.45 -4.45%
- iBoxx Offshore RMB China Corporate High Yield Index 169.15 -.07%
- 2-Year Swap Spread 6.0 -.5 basis point
- TED Spread 16.0 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -1.75 basis points
- MBS 5/10 Treasury Spread 114.0 unch.
- IHS Markit CMBX BBB- 6 71.5 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.31 -.66%
- 3-Month T-Bill Yield .15% unch.
- Yield Curve 51.75 -1.75 basis points
- China Iron Ore Spot 100.88 USD/Metric Tonne +.84%
- Citi US Economic Surprise Index 126.70 -13.3 points
- Citi Eurozone Economic Surprise Index -192.0 +4.3 points
- Citi Emerging Markets Economic Surprise Index -3.9 -1.3 points
- 10-Year TIPS Spread 1.26 +1.0 basis point
- 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 +25 open in Japan
- China A50 Futures: Indicating -54 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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