Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.39 -2.21%
- Euro/Yen Carry Return Index 122.74 +1.5%
- Emerging Markets Currency Volatility(VXY) 9.90 +2.17%
- S&P 500 Implied Correlation 48.54 -1.68%
- ISE Sentiment Index 155.0 +33.62%
- Total Put/Call .93 +10.71%
- NYSE Arms .82 -33.12%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.47 -.34%
- America Energy Sector High-Yield CDS Index 715.0 -.44%
- European Financial Sector CDS Index 95.62 -2.11%
- Western Europe Sovereign Debt CDS Index 26.42 +3.20%
- Asia Pacific Sovereign Debt CDS Index 47.54 +1.01%
- Emerging Market CDS Index 253.84 +.91%
- iBoxx Offshore RMB China Corporate High Yield Index 130.89 +.11%
- 2-Year Swap Spread 20.75 +1.0 basis point
- TED Spread 37.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -49.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.88 -.14%
- 3-Month T-Bill Yield .30% -1.0 basis point
- Yield Curve 90.0 +1.0 basis point
- China Import Iron Ore Spot $56.86/Metric Tonne -2.67%
- Citi US Economic Surprise Index 25.10 +3.2 points
- Citi Eurozone Economic Surprise Index 4.9 +.4 point
- Citi Emerging Markets Economic Surprise Index -11.20 +1.0 point
- 10-Year TIPS Spread 1.51% unch.
- 19.2% chance of Fed rate hike at Sept. 21 meeting, 19.2% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +198 open in Japan
- China A50 Futures: Indicating +5 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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