Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.1 +8.3%
- Bloomberg Global Risk On/Risk Off Index 2,944.0 -193.0 points
- Euro/Yen Carry Return Index 137.4 -.14%
- Emerging Markets Currency Volatility(VXY) 9.3 +.2%
- S&P 500 Implied Correlation 53.2 -.5%
- ISE Sentiment Index 89.0 -46.0 points
- Total Put/Call 1.06 +27.7%
- NYSE Arms 1.4 -16.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.92 +1.09%
- US Energy High-Yield OAS 437.22 +1.25%
- European Financial Sector CDS Index 61.6 +1.4%
- Italian/German 10Y Yld Spread 123.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.95 +1.0%
- Emerging Market CDS Index 164.50 +1.32%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.30 +.01%
- 2-Year Swap Spread 10.0 unch.
- TED Spread 14.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap .75 +1.25 basis points
- MBS 5/10 Treasury Spread 62.0 -1.25 basis points
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.46 -.16%
- 3-Month T-Bill Yield .01% +1.0 basis point
- Yield Curve 149.0 unch.
- China Iron Ore Spot 197.25 USD/Metric Tonne -3.9%
- Citi US Economic Surprise Index 3.6 -.7 point
- Citi Eurozone Economic Surprise Index 136.20 -9.9 points
- Citi Emerging Markets Economic Surprise Index 50.10 -1.0 point
- 10-Year TIPS Spread 2.53 -2.0 basis points
- 93.0% chance of no change at Sept. 22nd meeting, 93.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -94 open in Japan
- China A50 Futures: Indicating -55 open in China
- DAX Futures: Indicating +54 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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