Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 30.3 -5.8%
- Euro/Yen Carry Return Index 126.65 +.39%
- Emerging Markets Currency Volatility(VXY) 9.87 +1.65%
- S&P 500 Implied Correlation 59.4 -7.8%
- ISE Sentiment Index 105.0 -9.0 points
- Total Put/Call .88 +14.3%
- NYSE Arms .80 -31.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.77 -.12%
- US Energy High-Yield OAS 910.61 +.16%
- European Financial Sector CDS Index 74.06 +1.09%
- Italian/German 10Y Yld Spread 165.75 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 80.5 +.17%
- Emerging Market CDS Index 197.43 -.09%
- iBoxx Offshore RMB China Corporate High Yield Index 174.73 +.30%
- 2-Year Swap Spread 6.75 -.5 basis point
- TED Spread 14.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 +3.0 basis points
- MBS 5/10 Treasury Spread 99.0 +3.0 basis points
- IHS Markit CMBX BBB- 6 68.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.78 +.24%
- 3-Month T-Bill Yield .13% unch.
- Yield Curve 46.0 -2.0 basis points
- China Iron Ore Spot 106.41 USD/Metric Tonne +-2.53%
- Citi US Economic Surprise Index 243.4 +7.1 points
- Citi Eurozone Economic Surprise Index -25.30 +1.9 points
- Citi Emerging Markets Economic Surprise Index -22.10 -1.9 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 +78 open in Japan
- China A50 Futures: Indicating +20 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my industrial/consumer staple/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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