Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.75 -2.69%
- Euro/Yen Carry Return Index 130.53 +.4%
- Emerging Markets Currency Volatility(VXY) 7.33 -.27%
- S&P 500 Implied Correlation 32.98 -4.54%
- ISE Sentiment Index 96.0 -12.73%
- Total Put/Call .77 -18.95%
- NYSE Arms .84 -20.63%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.72 -1.51%
- America Energy Sector High-Yield CDS Index 486.0 -1.27%
- European Financial Sector CDS Index 51.23 -3.16%
- Western Europe Sovereign Debt CDS Index 7.09 +16.69%
- Asia Pacific Sovereign Debt CDS Index 19.09 -.86%
- Emerging Market CDS Index 196.28 -.92%
- iBoxx Offshore RMB China Corporate High Yield Index 139.48 +.10%
- 2-Year Swap Spread 21.50 +1.5 basis points
- TED Spread 34.25 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -31.25 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.91 +.26%
- 3-Month T-Bill Yield .96% unch.
- Yield Curve 80.0 -1.0 basis point
- China Import Iron Ore Spot $56.75/Metric Tonne n/a
- Citi US Economic Surprise Index -78.50 -3.9 points
- Citi Eurozone Economic Surprise Index 6.60 +1.9 points
- Citi Emerging Markets Economic Surprise Index 10.0 -.9 point
- 10-Year TIPS Spread 1.72 +1.0 basis point
- 26.1% chance of Fed rate hike at Sept. 20 meeting, 27.6% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +65 open in Japan
- China A50 Futures: Indicating +31 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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