Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.12 -3.13%
- Euro/Yen Carry Return Index 119.04 +.36%
- Emerging Markets Currency Volatility(VXY) 10.40 +1.07%
- S&P 500 Implied Correlation 56.79 +2.52%
- ISE Sentiment Index 62.0 unch.
- Total Put/Call 1.21 +5.14%
- NYSE Arms 1.12 +87.82%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.66 -2.99%
- America Energy Sector High-Yield CDS Index 797.0 -1.25%
- European Financial Sector CDS Index 112.65 -3.31%
- Western Europe Sovereign Debt CDS Index 32.10 -.11%
- Asia Pacific Sovereign Debt CDS Index 53.34 +4.94%
- Emerging Market CDS Index 268.26 -1.29%
- iBoxx Offshore RMB China Corporate High Yield Index 130.18 +.12%
- 2-Year Swap Spread 15.0 -2.25 basis points
- TED Spread 37.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.38 -.11%
- 3-Month T-Bill Yield .26% +1.0 basis point
- Yield Curve 90.0 +5.0 basis points
- China Import Iron Ore Spot $55.66/Metric Tonne +3.28%
- Citi US Economic Surprise Index -19.8 +.3 point
- Citi Eurozone Economic Surprise Index 5.0 +4.5 points
- Citi Emerging Markets Economic Surprise Index -7.20 +2.8 points
- 10-Year TIPS Spread 1.44% +2.0 basis points
- 0.0% chance of Fed rate hike at Sept. 21 meeting, 2.0% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +235 open in Japan
- China A50 Futures: Indicating -45 open in China
- DAX Futures: Indicating +75 open in Germany
Portfolio:
- Higher: On gains in my retail/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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