Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.6 +1.8%
- Bloomberg Global Risk On/Risk Off Index 3,322.0 +105.0 points
- Euro/Yen Carry Return Index 136.53 +.21%
- Emerging Markets Currency Volatility(VXY) 9.6 -.1%
- S&P 500 Implied Correlation 49.4 +2.5%
- ISE Sentiment Index 98.0 -39.0 points
- Total Put/Call .72 -11.1%
- NYSE Arms 1.17 +41.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.39 -1.1%
- US Energy High-Yield OAS 438.88 -1.24%
- European Financial Sector CDS Index 58.50 -1.36%
- Italian/German 10Y Yld Spread 111.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 80.67 -1.35%
- Emerging Market CDS Index 166.24 -.38%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.30 -.17%
- 2-Year Swap Spread 11.75 unch.
- TED Spread 17.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -.25 basis point
- MBS 5/10 Treasury Spread 62.75 -1.5 basis points
- IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.12 -.18%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 145.0 unch.
- China Iron Ore Spot 186.30 USD/Metric Tonne -.3%
- Citi US Economic Surprise Index 38.90 -4.4 points
- Citi Eurozone Economic Surprise Index 159.2 +37.3 points
- Citi Emerging Markets Economic Surprise Index 43.2 -.1 point
- 10-Year TIPS Spread 2.43 +1.0 basis point
- 88.0% chance of no change at Sept. 22nd meeting, 86.1% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -44 open in Japan
- China A50 Futures: Indicating -94 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/energy/tech sector longs sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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