Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.49 -9.89%
- Euro/Yen Carry Return Index 122.84 +.1%
- Emerging Markets Currency Volatility(VXY) 10.53 -2.41%
- S&P 500 Implied Correlation 55.67 -5.86%
- ISE Sentiment Index 123.0 +4.24%
- Total Put/Call .95 -11.21%
- NYSE Arms .72 -25.28%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.12 -3.18%
- America Energy Sector High-Yield CDS Index 793.0 -1.7%
- European Financial Sector CDS Index 102.28 -8.33%
- Western Europe Sovereign Debt CDS Index 28.65 -3.39%
- Asia Pacific Sovereign Debt CDS Index 52.15 -2.94%
- Emerging Market CDS Index 287.41 -4.47%
- iBoxx Offshore RMB China Corporate High Yield Index 129.61 +.07%
- 2-Year Swap Spread 14.25 -1.0 basis point
- TED Spread 39.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -34.75 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.20 +.59%
- 3-Month T-Bill Yield .26% unch.
- Yield Curve 94.0 +1.0 basis point
- China Import Iron Ore Spot $51.06/Metric Tonne +.81%
- Citi US Economic Surprise Index -17.20 +2.7 points
- Citi Eurozone Economic Surprise Index -8.60 -2.8 points
- Citi Emerging Markets Economic Surprise Index -4.9 -2.1 points
- 10-Year TIPS Spread 1.46% +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 -35 open in Japan
- China A50 Futures: Indicating -14 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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