Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.57 +12.9%
- Euro/Yen Carry Return Index 121.70 +.05%
- Emerging Markets Currency Volatility(VXY) 9.98 +.5%
- S&P 500 Implied Correlation 51.27 +3.01%
- ISE Sentiment Index 76.0 -21.65%
- Total Put/Call .97 +19.75%
- NYSE Arms 1.49 +59.71%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.46 +2.80%
- America Energy Sector High-Yield CDS Index 733.0 +.43%
- European Financial Sector CDS Index 92.91 +.99%
- Western Europe Sovereign Debt CDS Index 25.88 -.27%
- Asia Pacific Sovereign Debt CDS Index 48.17 +1.44%
- Emerging Market CDS Index 256.42 +1.53%
- iBoxx Offshore RMB China Corporate High Yield Index 131.11 +.06%
- 2-Year Swap Spread 25.25 -.75 basis point
- TED Spread 40.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -50.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.92 -.46%
- 3-Month T-Bill Yield .30% -1.0 basis point
- Yield Curve 84.0 -2.0 basis points
- China Import Iron Ore Spot $56.86/Metric Tonne +1.77%
- Citi US Economic Surprise Index 38.60 +1.9 points
- Citi Eurozone Economic Surprise Index 10.8 +2.8 points
- Citi Emerging Markets Economic Surprise Index -10.10 +.9 point
- 10-Year TIPS Spread 1.50% -1.0 basis point
- 28.0% chance of Fed rate hike at Sept. 21 meeting, 29.5% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -10 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment