Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.43 -6.7%
- Euro/Yen Carry Return Index 134.40 +.31%
- Emerging Markets Currency Volatility(VXY) 7.85 +.90%
- S&P 500 Implied Correlation 34.54 +1.4%
- ISE Sentiment Index 89.0 -20.5%
- Total Put/Call .84 -24.32%
- NYSE Arms .87 -22.67%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.48 -1.17%
- America Energy Sector High-Yield CDS Index 462.0 +.71%
- European Financial Sector CDS Index 52.0 -1.49%
- Western Europe Sovereign Debt CDS Index 6.19 -8.78%
- Asia Pacific Sovereign Debt CDS Index 21.07 -1.98%
- Emerging Market CDS Index 200.47 -.62%
- iBoxx Offshore RMB China Corporate High Yield Index 139.71 +.06%
- 2-Year Swap Spread 22.50 -.5 basis point
- TED Spread 27.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.0 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.67 -.43%
- 3-Month T-Bill Yield 1.02% +1.0 basis point
- Yield Curve 93.0 +1.0 basis points
- China Import Iron Ore Spot $64.29/Metric Tonne -1.02%
- Citi US Economic Surprise Index -63.30 +9.3 points
- Citi Eurozone Economic Surprise Index 29.40 -.9 point
- Citi Emerging Markets Economic Surprise Index 11.0 -.9 point
- 10-Year TIPS Spread 1.76 +2.0 basis points
- 31.2% chance of Fed rate hike at Sept. 20 meeting, 34.0% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +144 open in Japan
- China A50 Futures: Indicating -86 open in China
- DAX Futures: Indicating -26 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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