Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.75 -1.38%
- Euro/Yen Carry Return Index 129.49 +.35%
- Emerging Markets Currency Volatility(VXY) 7.63 -.52%
- S&P 500 Implied Correlation 38.13 +5.01%
- ISE Sentiment Index 52.0 -17.46%
- Total Put/Call 1.04 +7.22%
- NYSE Arms 1.42 +5.26%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.28 +2.44%
- America Energy Sector High-Yield CDS Index 427.0 +.99%
- European Financial Sector CDS Index 61.48 -.44%
- Western Europe Sovereign Debt CDS Index 6.65 -4.18%
- Asia Pacific Sovereign Debt CDS Index 17.25 +.58%
- Emerging Market CDS Index 196.99 +1.68%
- iBoxx Offshore RMB China Corporate High Yield Index 139.16 unch.
- 2-Year Swap Spread 21.0 +1.75 basis points
- TED Spread 27.25 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -31.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.18 +.15%
- 3-Month T-Bill Yield 1.0% unch.
- Yield Curve 83.5 +2.5 basis points
- China Import Iron Ore Spot $55.23/Metric Tonne unch.
- Citi US Economic Surprise Index -78.60 -16.9 points
- Citi Eurozone Economic Surprise Index 30.40 -1.1 points
- Citi Emerging Markets Economic Surprise Index 9.6 +.6 point
- 10-Year TIPS Spread 1.68 -1.0 basis point
- 24.3% chance of Fed rate hike at Sept. 20 meeting, 27.5% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +22 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment