Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.3 +.87%
- Euro/Yen Carry Return Index 133.98 -.44%
- Emerging Markets Currency Volatility(VXY) 9.95 +2.1%
- S&P 500 Implied Correlation 39.23 +4.2%
- ISE Sentiment Index 69.o -25.8%
- Total Put/Call 1.09 -11.4%
- NYSE Arms 1.87 +42.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.21 +.76%
- America Energy Sector High-Yield CDS Index 402.0 +1.07%
- European Financial Sector CDS Index 92.16 +2.44%
- Italian/German 10Y Yld Spread 234.75 -3.0 basis points
- Asia Pacific Sovereign Debt CDS Index 15.50 +3.65%
- Emerging Market CDS Index 191.16 +.38%
- iBoxx Offshore RMB China Corporate High Yield Index 147.88 +.06%
- 2-Year Swap Spread 26.25 unch.
- TED Spread 41.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.13 -.51%
- 3-Month T-Bill Yield 1.92% +1.0 basis point
- Yield Curve 31.75 -.75 basis point
- China Iron Ore Spot 64.18 USD/Metric Tonne +.20%
- Citi US Economic Surprise Index 5.50 +10.4 points
- Citi Eurozone Economic Surprise Index -52.40 +8.6 points
- Citi Emerging Markets Economic Surprise Index -11.20 +.5 point
- 10-Year TIPS Spread 2.14 +2.0 basis points
- 78.3% chance of Fed rate hike at Sept. 26th meeting, 79.5% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +18 open in Japan
- China A50 Futures: Indicating -75 open in China
- DAX Futures: Indicating +27 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment