Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.29 -4.28%
- Euro/Yen Carry Return Index 129.50 -.21%
- Emerging Markets Currency Volatility(VXY) 7.63 -1.55%
- S&P 500 Implied Correlation 34.54 -3.22%
- ISE Sentiment Index 99.0 +32.0%
- Total Put/Call .80 -9.09%
- NYSE Arms .79 -37.69%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.38 -1.76%
- America Energy Sector High-Yield CDS Index 485.0 +1.40%
- European Financial Sector CDS Index 54.79 -2.62%
- Western Europe Sovereign Debt CDS Index 6.98 +8.73%
- Asia Pacific Sovereign Debt CDS Index 19.20 +4.09%
- Emerging Market CDS Index 200.52 -1.64%
- iBoxx Offshore RMB China Corporate High Yield Index 139.43 +.02%
- 2-Year Swap Spread 19.5 -.25 basis point
- TED Spread 33.0 +5.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.54 +.27%
- 3-Month T-Bill Yield .95% -5.0 basis points
- Yield Curve 81.0 unch.
- China Import Iron Ore Spot $56.53/Metric Tonne -.51%
- Citi US Economic Surprise Index -76.10 +.4 point
- Citi Eurozone Economic Surprise Index 18.50 +.3 point
- Citi Emerging Markets Economic Surprise Index 10.6 +1.3 points
- 10-Year TIPS Spread 1.70 +3.0 basis points
- 24.3% chance of Fed rate hike at Sept. 20 meeting, 25.9% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +40 open in Japan
- China A50 Futures: Indicating +7 open in China
- DAX Futures: Indicating +3 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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