Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.3 -2.1%
- Euro/Yen Carry Return Index 135.0 -.13%
- Emerging Markets Currency Volatility(VXY) 10.13 +.5%
- S&P 500 Implied Correlation 29.47 +.14%
- ISE Sentiment Index 106.0 +39.5%
- Total Put/Call .82 -10.0%
- NYSE Arms 1.07 +.51%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.03 -1.65%
- America Energy Sector High-Yield CDS Index 370.0 -2.03%
- European Financial Sector CDS Index 76.09 -1.40%
- Italian/German 10Y Yld Spread 228.25 -.75 basis point
- Asia Pacific Sovereign Debt CDS Index 12.74 +2.33%
- Emerging Market CDS Index 167.35 -3.51%
- iBoxx Offshore RMB China Corporate High Yield Index 148.83 +.11%
- 2-Year Swap Spread 20.0 -1.5 basis points
- TED Spread 34.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.07 +.67%
- 3-Month T-Bill Yield 1.99% unch.
- Yield Curve 28.75 -2.75 basis points
- China Iron Ore Spot 65.96 USD/Metric Tonne -.39%
- Citi US Economic Surprise Index -5.40 -4.3 points
- Citi Eurozone Economic Surprise Index -32.80 -1.7 points
- Citi Emerging Markets Economic Surprise Index -.8 +.6 point
- 10-Year TIPS Spread 2.13 +1.0 basis point
- 80.2% chance of Fed rate hike at Sept. 26th meeting, 81.3% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +36 open in Japan
- China A50 Futures: Indicating +56 open in China
- DAX Futures: Indicating +136 open in Germany
Portfolio:
- Higher: On gains in my retail/industrial/tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment