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) 10.10 -1.94%
- Euro/Yen Carry Return Index 134.73 -.01%
- Emerging Markets Currency Volatility(VXY) 7.76 +.13%
- S&P 500 Implied Correlation 32.09 +3.45%
- ISE Sentiment Index 94.0 +6.82%
- Total Put/Call .84 +20.0%
- NYSE Arms .64 -43.78%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.93 -2.61%
- America Energy Sector High-Yield CDS Index 461.0 -1.92%
- European Financial Sector CDS Index 50.90 -2.75%
- Western Europe Sovereign Debt CDS Index 6.12 -.57%
- Asia Pacific Sovereign Debt CDS Index 21.76 -1.02%
- Emerging Market CDS Index 196.86 -.61%
- iBoxx Offshore RMB China Corporate High Yield Index 140.04 -.02%
- 2-Year Swap Spread 24.0 -1.0 basis point
- TED Spread 26.25 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.03 +.11%
- 3-Month T-Bill Yield 1.03% -1.0 basis point
- Yield Curve 98.0 +1.0 basis point
- China Import Iron Ore Spot $65.91/Metric Tonne +2.9%
- Citi US Economic Surprise Index -54.70 +1.9 points
- Citi Eurozone Economic Surprise Index 37.20 -.8 point
- Citi Emerging Markets Economic Surprise Index 13.60 +.5 point
- 10-Year TIPS Spread 1.78 +3.0 basis points
- 24.3% chance of Fed rate hike at Sept. 20 meeting, 25.9% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +36 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment