Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.4 -1.1%
- Bloomberg Global Risk On/Risk Off Index 3,151.0 +38.0 points
- Euro/Yen Carry Return Index 136.03 +.06%
- Emerging Markets Currency Volatility(VXY) 9.5 unch.
- S&P 500 Implied Correlation 50.6 -2.2%
- ISE Sentiment Index 123.0 +29.0 points
- Total Put/Call .73 -23.2%
- NYSE Arms .98 -36.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.23 -.36%
- US Energy High-Yield OAS 436.97 -.22%
- European Financial Sector CDS Index 58.31 -.26%
- Italian/German 10Y Yld Spread 109.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 78.59 -1.96%
- Emerging Market CDS Index 169.35 +1.46%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.37 +.2%
- 2-Year Swap Spread 11.75 unch.
- TED Spread 17.5 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 unch.
- MBS 5/10 Treasury Spread 61.75 +1.75 basis points
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.87 +.19%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 148.0 unch.
- China Iron Ore Spot 183.36 USD/Metric Tonne +3.1%
- Citi US Economic Surprise Index 23.8 -16.2 points
- Citi Eurozone Economic Surprise Index 158.6 -6.1 points
- Citi Emerging Markets Economic Surprise Index 55.7 +5.3 points
- 10-Year TIPS Spread 2.42 +1.0 basis point
- 89.0% chance of no change at Sept. 22nd meeting, 89.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +313 open in Japan
- China A50 Futures: Indicating -154 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/energy/medical sector longs sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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