Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.01 -2.5%
- Euro/Yen Carry Return Index 123.26 +.31%
- Emerging Markets Currency Volatility(VXY) 10.50 -.57%
- S&P 500 Implied Correlation 57.17 +.21%
- ISE Sentiment Index 163.0 +59.8%
- Total Put/Call 1.01 +4.12%
- NYSE Arms .75 -9.14%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.0 -1.40%
- America Energy Sector High-Yield CDS Index 781.0 -1.7%
- European Financial Sector CDS Index 103.88 +1.56%
- Western Europe Sovereign Debt CDS Index 28.92 +.82%
- Asia Pacific Sovereign Debt CDS Index 52.51 +.67%
- Emerging Market CDS Index 284.89 -1.04%
- iBoxx Offshore RMB China Corporate High Yield Index 129.67 +.05%
- 2-Year Swap Spread 13.0 -1.25 basis points
- TED Spread 37.5 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -34.75 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.23 +.05%
- 3-Month T-Bill Yield .27% +1.0 basis point
- Yield Curve 94.0 unch.
- China Import Iron Ore Spot $50.87/Metric Tonne -.37%
- Citi US Economic Surprise Index -16.0 +1.2 points
- Citi Eurozone Economic Surprise Index -1.20 +7.4 points
- Citi Emerging Markets Economic Surprise Index -5.3 -.4 point
- 10-Year TIPS Spread 1.47% +1.0 basis point
- 31.6% chance of Fed rate hike at Sept. 21 meeting, 33.1% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +146 open in Japan
- China A50 Futures: Indicating -43 open in China
- DAX Futures: Indicating +81 open in Germany
Portfolio:
- Lower: On losses in my biotech/retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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