Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.99 -3.93%
- Euro/Yen Carry Return Index 133.95 +.04%
- Emerging Markets Currency Volatility(VXY) 7.78 +1.30%
- S&P 500 Implied Correlation 34.83 -.88%
- ISE Sentiment Index 106.0 +17.8%
- Total Put/Call 1.09 +10.10%
- NYSE Arms 1.15 +85.43%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.89 -.29%
- America Energy Sector High-Yield CDS Index 464.0 +.08%
- European Financial Sector CDS Index 52.79 +.48%
- Western Europe Sovereign Debt CDS Index 6.78 +11.33%
- Asia Pacific Sovereign Debt CDS Index 21.48 +8.57%
- Emerging Market CDS Index 201.93 -.19%
- iBoxx Offshore RMB China Corporate High Yield Index 139.62 +.06%
- 2-Year Swap Spread 23.0 +1.25 basis points
- TED Spread 28.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.25 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.98 +.06%
- 3-Month T-Bill Yield 1.01% -1.0 basis point
- Yield Curve 92.0 +2.0 basis points
- China Import Iron Ore Spot $64.95/Metric Tonne +.37%
- Citi US Economic Surprise Index -72.60 +3.8 points
- Citi Eurozone Economic Surprise Index 30.30 +6.3 points
- Citi Emerging Markets Economic Surprise Index 10.10 +2.4 points
- 10-Year TIPS Spread 1.74 unch.
- 29.6% chance of Fed rate hike at Sept. 20 meeting, 31.1% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +72 open in Japan
- China A50 Futures: Indicating -103 open in China
- DAX Futures: Indicating +50 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
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