Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 10.91 +2.54%
- Euro/Yen Carry Return Index 129.06 +.61%
- Emerging Markets Currency Volatility(VXY) 7.76 +2.65%
- S&P 500 Implied Correlation 37.18 -1.62%
- ISE Sentiment Index 56.0 -37.0%
- Total Put/Call .93 +13.41%
- NYSE Arms 1.37 -11.35%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.85 +1.89%
- America Energy Sector High-Yield CDS Index 422.0 +3.22%
- European Financial Sector CDS Index 61.75 +.26%
- Western Europe Sovereign Debt CDS Index 6.94 -1.84%
- Asia Pacific Sovereign Debt CDS Index 17.15 +2.14%
- Emerging Market CDS Index 194.30 +2.44%
- iBoxx Offshore RMB China Corporate High Yield Index 139.16 +.01%
- 2-Year Swap Spread 19.25 +.5 basis point
- TED Spread 24.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -32.25 +1.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.07 -.64%
- 3-Month T-Bill Yield 1.0% unch.
- Yield Curve 81.0 +1.0 basis point
- China Import Iron Ore Spot $55.23/Metric Tonne +1.47%
- Citi US Economic Surprise Index -61.70 -4.4 points
- Citi Eurozone Economic Surprise Index 31.50 -1.0 point
- Citi Emerging Markets Economic Surprise Index 9.0 +1.0 point
- 10-Year TIPS Spread 1.69 -3.0 basis points
- 27.8% chance of Fed rate hike at Sept. 20 meeting, 29.3% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +79 open in Japan
- China A50 Futures: Indicating -21 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Slightly Lower: On losses in my tecj/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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