Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.45 -.83%
- Euro/Yen Carry Return Index 117.62 -.06%
- Emerging Markets Currency Volatility(VXY) 10.29 +1.18%
- S&P 500 Implied Correlation 53.46 -.04%
- ISE Sentiment Index 83.0 +50.91%
- Total Put/Call 1.03 -16.26%
- NYSE Arms .89 -30.74%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.51 -1.90%
- America Energy Sector High-Yield CDS Index 786.0 +3.76%
- European Financial Sector CDS Index 116.42 +1.23%
- Western Europe Sovereign Debt CDS Index 32.08 +.91%
- Asia Pacific Sovereign Debt CDS Index 54.59 +2.01%
- Emerging Market CDS Index 270.22 -.99%
- iBoxx Offshore RMB China Corporate High Yield Index 130.26 -.10%
- 2-Year Swap Spread 16.75 -.5 basis point
- TED Spread 40.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -43.75 -3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.94 -.06%
- 3-Month T-Bill Yield .27% +3.0 basis points
- Yield Curve 80.0 -1.0 basis point
- China Import Iron Ore Spot $55.93/Metric Tonne unch.
- Citi US Economic Surprise Index -7.1 +6.3 points
- Citi Eurozone Economic Surprise Index 14.2 -1.7 points
- Citi Emerging Markets Economic Surprise Index -14.20 -.3 point
- 10-Year TIPS Spread 1.47% +5.0 basis points
- 2.0% chance of Fed rate hike at Sept. 21 meeting, 2.0% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +19 open in Japan
- China A50 Futures: Indicating -116 open in China
- DAX Futures: Indicating +49 open in Germany
Portfolio:
- Higher: On gains in my retail/tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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