Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.8 -3.2%
- Bloomberg Global Risk On/Risk Off Index 3,422.0 +86.0 points
- Euro/Yen Carry Return Index 138.34 +.64%
- Emerging Markets Currency Volatility(VXY) 9.2 -.1%
- S&P 500 Implied Correlation 48.3 -3.9%
- ISE Sentiment Index 117.0 +1.0 point
- Total Put/Call .66 -10.8%
- NYSE Arms .58 -4.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.21 -.92%
- US Energy High-Yield OAS 436.35 -.72%
- European Financial Sector CDS Index 58.95 -.87%
- Italian/German 10Y Yld Spread 111.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 86.13 +.13%
- Emerging Market CDS Index 160.02 -.51%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.39 +.23%
- 2-Year Swap Spread 8.25 +.25 basis point
- TED Spread 13.5 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.0 +.5 basis point
- MBS 5/10 Treasury Spread 63.5 +1.25 basis points
- IHS Markit CMBX BBB- 6 72.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.31 +.12%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 143.0 unch.
- China Iron Ore Spot 185.0 USD/Metric Tonne +11.1%
- Citi US Economic Surprise Index 3.3 -.3 point
- Citi Eurozone Economic Surprise Index 144.70 +8.0 points
- Citi Emerging Markets Economic Surprise Index 51.7 -1.6 points
- 10-Year TIPS Spread 2.44 +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 +146 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my technology/commodity/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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