- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.9 +23.1%
- Bloomberg Global Risk On/Risk Off Index 2,644.0 -265.0 points
- Euro/Yen Carry Return Index 136.88 +.34%
- Emerging Markets Currency Volatility(VXY) 9.4 +.21%
- S&P 500 Implied Correlation 55.4 +1.2%
- ISE Sentiment Index 83.0 -17.0 points
- Total Put/Call 1.0 +2.0%
- NYSE Arms .78 +16.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.3 +1.2%
- US Energy High-Yield OAS 429.0 -.34%
- European Financial Sector CDS Index 61.89 +1.6%
- Italian/German 10Y Yld Spread 115.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 82.14 +3.18%
- Emerging Market CDS Index 165.52 +3.6%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.38 +.03%
- 2-Year Swap Spread 10.5 +1.0 basis point
- TED Spread 15.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.0 +1.0 basis point
- MBS 5/10 Treasury Spread 62.0 -1.5 basis points
- IHS Markit CMBX BBB- 6 71.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.10 -.70%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 146.0 +2.0 basis points
- China Iron Ore Spot 226.60 USD/Metric Tonne +3.7%
- Citi US Economic Surprise Index 48.5 +29.1 points
- Citi Eurozone Economic Surprise Index 162.0 -3.6 points
- Citi Emerging Markets Economic Surprise Index 70.80 +8.0 points
- 10-Year TIPS Spread 2.57 +3.0 basis points
- 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 -260 open in Japan
- China A50 Futures: Indicating -175 open in China
- DAX Futures: Indicating -60 open in Germany
Portfolio:
- Slightly Higher: On gains in my commodity/biotech sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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