Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.0 -1.96%
- Euro/Yen Carry Return Index 134.14 +.04%
- Emerging Markets Currency Volatility(VXY) 7.93 +1.54%
- S&P 500 Implied Correlation 35.04 -2.88%
- ISE Sentiment Index 106.0 +19.1%
- Total Put/Call .92 -2.13%
- NYSE Arms 1.04 +6.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.13 +.94%
- America Energy Sector High-Yield CDS Index 457.0 -.26%
- European Financial Sector CDS Index 53.08 +1.01%
- Western Europe Sovereign Debt CDS Index 5.76 -5.57%
- Asia Pacific Sovereign Debt CDS Index 22.22 +1.62%
- Emerging Market CDS Index 205.55 +1.92%
- iBoxx Offshore RMB China Corporate High Yield Index 139.74 +.02%
- 2-Year Swap Spread 24.0 +1.75 basis points
- TED Spread 26.0 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -27.25 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.32 -.44%
- 3-Month T-Bill Yield 1.04% +2.0 basis points
- Yield Curve 92.0 -1.0 basis points
- China Import Iron Ore Spot $63.23/Metric Tonne n/a
- Citi US Economic Surprise Index -63.10 +.2 point
- Citi Eurozone Economic Surprise Index 38.40 +9.0 points
- Citi Emerging Markets Economic Surprise Index 15.20 +4.2 points
- 10-Year TIPS Spread 1.77 +1.0 basis point
- 34.9% chance of Fed rate hike at Sept. 20 meeting, 36.2% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +29 open in Japan
- China A50 Futures: Indicating -82 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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