Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.9 +8.8%
- Bloomberg Global Risk On/Risk Off Index 3,039.0 -110.0 points
- Euro/Yen Carry Return Index 135.78 -.17%
- Emerging Markets Currency Volatility(VXY) 9.6 +.7%
- S&P 500 Implied Correlation 52.0 +1.4%
- ISE Sentiment Index 121.0 +7.0 points
- Total Put/Call .87 +16.0%
- NYSE Arms 1.13 +13.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.0 +1.4%
- US Energy High-Yield OAS 436.64 +.03%
- European Financial Sector CDS Index 59.61 +2.26%
- Italian/German 10Y Yld Spread 110.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 79.16 +.70%
- Emerging Market CDS Index 169.35 +1.14%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.40 +.29%
- 2-Year Swap Spread 11.5 -.25 basis point
- TED Spread 17.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -.25 basis point
- MBS 5/10 Treasury Spread 63.0 +1.25 basis points
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.63 -.33%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 148.0 unch.
- China Iron Ore Spot 184.50 USD/Metric Tonne +.7%
- Citi US Economic Surprise Index 22.8 -1.0 point
- Citi Eurozone Economic Surprise Index 158.1 -.5 point
- Citi Emerging Markets Economic Surprise Index 51.8 -3.9 points
- 10-Year TIPS Spread 2.43 +1.0 basis point
- 89.0% chance of no change at Sept. 22nd meeting, 89.2% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -102 open in Japan
- China A50 Futures: Indicating -307 open in China
- DAX Futures: Indicating +61 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/medical sector longs sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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