Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.86 -4.93%
- Euro/Yen Carry Return Index 119.32 +.34%
- Emerging Markets Currency Volatility(VXY) 10.16 -1.84%
- S&P 500 Implied Correlation 54.11 -2.04%
- ISE Sentiment Index 118.0 +66.20%
- Total Put/Call 1.02 -16.39%
- NYSE Arms 1.09 +3.91%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.32 -7.34%
- America Energy Sector High-Yield CDS Index 774.0 -3.45%
- European Financial Sector CDS Index 105.50 -5.73%
- Western Europe Sovereign Debt CDS Index 31.01 -3.40%
- Asia Pacific Sovereign Debt CDS Index 52.07 -2.38%
- Emerging Market CDS Index 267.35 -.64%
- iBoxx Offshore RMB China Corporate High Yield Index 130.24 +.05%
- 2-Year Swap Spread 16.0 +1.0 basis point
- TED Spread 38.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -38.5 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.64 +.12%
- 3-Month T-Bill Yield .25% -1.0 basis point
- Yield Curve 86.0 -4.0 basis points
- China Import Iron Ore Spot $54.33/Metric Tonne -2.39%
- Citi US Economic Surprise Index -14.3 +5.3 points
- Citi Eurozone Economic Surprise Index 9.2 +4.2 points
- Citi Emerging Markets Economic Surprise Index -13.20 -6.0 points
- 10-Year TIPS Spread 1.47% +3.0 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 -47 open in Japan
- China A50 Futures: Indicating -38 open in China
- DAX Futures: Indicating -35 open in Germany
Portfolio:
- Higher: On gains in my retail/tech/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment