Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Abvove Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.5 +9.6%
- Bloomberg Global Risk On/Risk Off Index 2,958.0 -110.0 points
- Euro/Yen Carry Return Index 136.50 +.04%
- Emerging Markets Currency Volatility(VXY) 9.3 -.4%
- S&P 500 Implied Correlation 54.0 +1.0%
- ISE Sentiment Index 102.0 +5.0 points
- Total Put/Call 1.01 +13.5%
- NYSE Arms .49 -51.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.3 +1.2%
- US Energy High-Yield OAS 429.79 +.92%
- European Financial Sector CDS Index 60.93 +2.06%
- Italian/German 10Y Yld Spread 115.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 79.66 +1.2%
- Emerging Market CDS Index 159.77 +1.4%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.36 +.15%
- 2-Year Swap Spread 9.5 -.25 basis point
- TED Spread 15.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -.25 basis point
- MBS 5/10 Treasury Spread 63.5 -1.75 basis points
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.52 -.04%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 144.0 -1.0 basis point
- China Iron Ore Spot 220.95 USD/Metric Tonne +3.1%
- Citi US Economic Surprise Index 19.4 -1.3 points
- Citi Eurozone Economic Surprise Index 165.60 +4.4 points
- Citi Emerging Markets Economic Surprise Index 62.80 +1.6 points
- 10-Year TIPS Spread 2.54 -1.0 basis point
- 91.0% chance of no change at Sept. 22nd meeting, 91.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -11 open in Japan
- China A50 Futures: Indicating -91 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Lower: On losses in my commodity/medical/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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