Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 18.63 -12.0%
- Euro/Yen Carry Return Index 125.47 +1.75%
- Emerging Markets Currency Volatility(VXY) 10.27 -3.84%
- S&P 500 Implied Correlation 56.52 -6.02%
- ISE Sentiment Index 123.0 +36.7%
- Total Put/Call 1.30 +27.5%
- NYSE Arms .72 -43.32%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.68 -2.3%
- America Energy Sector High-Yield CDS Index 746.0 -4.36%
- European Financial Sector CDS Index 94.67 -3.71%
- Western Europe Sovereign Debt CDS Index 27.87 -2.65%
- Asia Pacific Sovereign Debt CDS Index 50.75 -2.15%
- Emerging Market CDS Index 277.50 -1.69%
- iBoxx Offshore RMB China Corporate High Yield Index 129.99 +.05%
- 2-Year Swap Spread 12.75 -.25 basis point
- TED Spread 37.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -36.50 +2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.92 +.56%
- 3-Month T-Bill Yield .28% +1.0 basis point
- Yield Curve 95.0 +1.0 basis point
- China Import Iron Ore Spot $51.89/Metric Tonne -.76%
- Citi US Economic Surprise Index -19.0 -3.0 points
- Citi Eurozone Economic Surprise Index -.3 +1.0 point
- Citi Emerging Markets Economic Surprise Index -5.8 unch.
- 10-Year TIPS Spread 1.54% +6.0 basis points
- 33.4% chance of Fed rate hike at Sept. 21 meeting, 34.8% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +272 open in Japan
- China A50 Futures: Indicating -9 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment