Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 19.88 -16.69%
- Euro/Yen Carry Return Index 118.57 +.84%
- Emerging Markets Currency Volatility(VXY) 10.78 -6.1%
- S&P 500 Implied Correlation 60.12 -6.47%
- ISE Sentiment Index 82.0 +51.85%
- Total Put/Call 1.15 -10.85%
- NYSE Arms .77 -55.43%
Credit Investor Angst:
- North American Investment Grade CDS Index 86.20 -5.55%
- America Energy Sector High-Yield CDS Index 842.0 +2.10%
- European Financial Sector CDS Index 129.40 -5.31%
- Western Europe Sovereign Debt CDS Index 35.93 -1.83%
- Asia Pacific Sovereign Debt CDS Index 53.99 -3.43%
- Emerging Market CDS Index 294.65 -3.84%
- iBoxx Offshore RMB China Corporate High Yield Index 130.04 +.07%
- 2-Year Swap Spread 11.5 -.25 basis point
- TED Spread 37.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -38.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.74 +1.23%
- 3-Month T-Bill Yield .25% +1.0 basis point
- Yield Curve 85.0 -1.0 basis point
- China Import Iron Ore Spot $53.65/Metric Tonne -.39%
- Citi US Economic Surprise Index -20.5 +2.8 points
- Citi Eurozone Economic Surprise Index -.6 -3.6 points
- Citi Emerging Markets Economic Surprise Index -8.5 -1.3 points
- 10-Year TIPS Spread 1.40% +3.0 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 +272 open in Japan
- China A50 Futures: Indicating +27 open in China
- DAX Futures: Indicating +40 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging markets shorts
- Market Exposure: Moved to 75% Net Long
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