Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.7 +1.7%
- Bloomberg Global Risk On/Risk Off Index 3,270.0 +1.0 point
- Euro/Yen Carry Return Index 137.67 +.27%
- Emerging Markets Currency Volatility(VXY) 9.2 +.22%
- S&P 500 Implied Correlation 50.9 +2.9%
- ISE Sentiment Index 95.0 -28.0 points
- Total Put/Call .78 -7.1%
- NYSE Arms 1.15 +11.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.94 +.83%
- US Energy High-Yield OAS 440.04 +.48%
- European Financial Sector CDS Index 59.60 -.91%
- Italian/German 10Y Yld Spread 113.0 -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 86.55 -1.63%
- Emerging Market CDS Index 161.70 +.4%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.40 +.17%
- 2-Year Swap Spread 8.5 -.25 basis point
- TED Spread 14.5 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.75 -.25 basis point
- MBS 5/10 Treasury Spread 62.5 +.5 basis point
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.24 -.11%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 145.0 -2.0 basis points
- China Iron Ore Spot 184.60 USD/Metric Tonne -.5%
- Citi US Economic Surprise Index 4.0 -7.3 points
- Citi Eurozone Economic Surprise Index 136.50 +.3 point
- Citi Emerging Markets Economic Surprise Index 53.4 +.2 point
- 10-Year TIPS Spread 2.45 -1.0 basis point
- 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 +146 open in Japan
- China A50 Futures: Indicating +145 open in China
- DAX Futures: Indicating -2 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/commodity sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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