Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 29.3 -.3%
- Euro/Yen Carry Return Index 126.06 +.26%
- Emerging Markets Currency Volatility(VXY) 9.98 +.4%
- S&P 500 Implied Correlation 63.82 -.87%
- ISE Sentiment Index 124.0 +4.0 points
- Total Put/Call .77 -6.1%
- NYSE Arms .64 -32.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.33 +.16%
- US Energy High-Yield OAS 1,092.0 -.06%
- European Financial Sector CDS Index 72.60 +.61%
- Italian/German 10Y Yld Spread 164.25 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 80.46 +.96%
- Emerging Market CDS Index 187.0 +2.12%
- iBoxx Offshore RMB China Corporate High Yield Index 172.26 +.02%
- 2-Year Swap Spread 6.75 +1.25 basis points
- TED Spread 12.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 +1.75 basis points
- MBS 5/10 Treasury Spread 99.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 69.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.65 +.34%
- 3-Month T-Bill Yield .14% unch.
- Yield Curve 48.5 -3.25 basis points
- China Iron Ore Spot 103.33 USD/Metric Tonne +.60%
- Citi US Economic Surprise Index 222.0 +.7 point
- Citi Eurozone Economic Surprise Index -47.90 +2.9 points
- Citi Emerging Markets Economic Surprise Index -19.80 +4.6 points
- 10-Year TIPS Spread 1.40 -2.0 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 +7 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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