Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.82 -7.53%
- Euro/Yen Carry Return Index 117.48 -.95%
- Emerging Markets Currency Volatility(VXY) 11.46 +2.32%
- S&P 500 Implied Correlation 63.27 -4.83%
- ISE Sentiment Index 50.0 -7.41%
- Total Put/Call 1.30 +4.0%
- NYSE Arms 1.82 -20.31%
Credit Investor Angst:
- North American Investment Grade CDS Index 91.09 +4.66%
- America Energy Sector High-Yield CDS Index 817.0 +11.10%
- European Financial Sector CDS Index 136.66 +8.72%
- Western Europe Sovereign Debt CDS Index 36.60 -.25%
- Asia Pacific Sovereign Debt CDS Index 56.25 +2.29%
- Emerging Market CDS Index 307.27 +1.59%
- iBoxx Offshore RMB China Corporate High Yield Index 129.95 +.03%
- 2-Year Swap Spread 11.75 -1.0 basis point
- TED Spread 38.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -39.0 +4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.50 -.63%
- 3-Month T-Bill Yield .24% -1.0 basis point
- Yield Curve 86.0 -7.0 basis points
- China Import Iron Ore Spot $53.86/Metric Tonne +6.42%
- Citi US Economic Surprise Index -23.3 +.5 point
- Citi Eurozone Economic Surprise Index 3.0 -.8 point
- Citi Emerging Markets Economic Surprise Index -7.2 -1.3 points
- 10-Year TIPS Spread 1.37% -8.0 basis points
- 0.0% chance of Fed rate hike at Sept. 21 meeting, 0.0% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -124 open in Japan
- China A50 Futures: Indicating -70 open in China
- DAX Futures: Indicating +30 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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