Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.85 +9.6%
- Euro/Yen Carry Return Index 132.81 +1.73%
- Emerging Markets Currency Volatility(VXY) 7.41 +.41%
- S&P 500 Implied Correlation 33.90 +2.4%
- ISE Sentiment Index 86.0 -11.3%
- Total Put/Call .74 -6.33%
- NYSE Arms .79 -1.56%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.32 +2.46%
- America Energy Sector High-Yield CDS Index 473.0 -1.81%
- European Financial Sector CDS Index 52.65 +2.76%
- Western Europe Sovereign Debt CDS Index 6.02 -15.2%
- Asia Pacific Sovereign Debt CDS Index 19.09 -.86%
- Emerging Market CDS Index 199.61 +1.71%
- iBoxx Offshore RMB China Corporate High Yield Index 139.57 +.06%
- 2-Year Swap Spread 20.0 -1.5 basis points
- TED Spread 29.75 -4.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -01.5 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.89 -.05%
- 3-Month T-Bill Yield 1.0% +4.0 basis points
- Yield Curve 83.0 +3.0 basis points
- China Import Iron Ore Spot $59.70/Metric Tonne +5.2%
- Citi US Economic Surprise Index -77.50 +1.0 point
- Citi Eurozone Economic Surprise Index 9.20 +2.6 points
- Citi Emerging Markets Economic Surprise Index 10.40 +.4 point
- 10-Year TIPS Spread 1.72 unch.
- 26.1% chance of Fed rate hike at Sept. 20 meeting, 27.6% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -25 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating -57 open in Germany
Portfolio:
- Lower: On losses in my tech/medical/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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