Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 10.87 +4.32%
- Euro/Yen Carry Return Index 128.26 -.4%
- Emerging Markets Currency Volatility(VXY) 7.60 -.78%
- S&P 500 Implied Correlation 37.72 -.95%
- ISE Sentiment Index 85.0 -2.3%
- Total Put/Call .85 -12.37%
- NYSE Arms 1.92 +113.67%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.89 -.41%
- America Energy Sector High-Yield CDS Index 412.0 +.58%
- European Financial Sector CDS Index 61.59 -.86%
- Western Europe Sovereign Debt CDS Index 7.07 +6.08%
- Asia Pacific Sovereign Debt CDS Index 16.83 -3.61%
- Emerging Market CDS Index 190.24 -.40%
- iBoxx Offshore RMB China Corporate High Yield Index 139.15 +.07%
- 2-Year Swap Spread 18.75 -1.25 basis points
- TED Spread 24.5 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -33.5 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.50 +.21%
- 3-Month T-Bill Yield 1.0% 1.0 basis point
- Yield Curve 80.0 -5.0 basis points
- China Import Iron Ore Spot $54.43/Metric Tonne +2.01%
- Citi US Economic Surprise Index -57.30 -12.2 points
- Citi Eurozone Economic Surprise Index 32.50 -.9 point
- Citi Emerging Markets Economic Surprise Index 8.0 +2.0 points
- 10-Year TIPS Spread 1.72 -5.0 basis points
- 26.2% chance of Fed rate hike at Sept. 20 meeting, 29.3% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +12 open in Japan
- China A50 Futures: Indicating +2 open in China
- DAX Futures: Indicating +29 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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