Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Light
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.%
- Euro/Yen Carry Return Index 118.77 +2.22%
- Emerging Markets Currency Volatility(VXY) 9.99 -.79%
- S&P 500 Implied Correlation 49.28 -1.40%
- ISE Sentiment Index 134.0 +76.32%
- Total Put/Call .74 +1.37%
- NYSE Arms .83 +101.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.06 -1.23%
- America Energy Sector High-Yield CDS Index 748.0 -3.01%
- European Financial Sector CDS Index 105.25 -.59%
- Western Europe Sovereign Debt CDS Index 31.73 -.69%
- Asia Pacific Sovereign Debt CDS Index 51.0 -3.61%
- Emerging Market CDS Index 254.81 -1.16%
- iBoxx Offshore RMB China Corporate High Yield Index 130.55 +.24%
- 2-Year Swap Spread 16.25 +.5 basis point
- TED Spread 39.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -43.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.42 +.11%
- 3-Month T-Bill Yield .28% unch.
- Yield Curve 77.0 +1.0 basis point
- China Import Iron Ore Spot $55.68/Metric Tonne +.92%
- Citi US Economic Surprise Index 9.6 +4.6 points
- Citi Eurozone Economic Surprise Index 6.3 -1.1 points
- Citi Emerging Markets Economic Surprise Index -16.40 -1.8 point
- 10-Year TIPS Spread 1.46% unch.
- 13.6% chance of Fed rate hike at Sept. 21 meeting, 13.3% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +497 open in Japan
- China A50 Futures: Indicating -31 open in China
- DAX Futures: Indicating -18 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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