Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.84 +1.18%
- Euro/Yen Carry Return Index 136.0 +.33%
- Emerging Markets Currency Volatility(VXY) 9.56 +.95%
- S&P 500 Implied Correlation 32.88 +3.56%
- ISE Sentiment Index 114.0 +8.57%
- Total Put/Call 1.0 +9.89%
- NYSE Arms .82 +9.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.19 -.44%
- America Energy Sector High-Yield CDS Index 383.0 -1.52%
- European Financial Sector CDS Index 80.02 -.92%
- Italian/German 10Y Yld Spread 235.25 -1.5 basis points
- Asia Pacific Sovereign Debt CDS Index 14.50 +.76%
- Emerging Market CDS Index 171.83 +.93%
- iBoxx Offshore RMB China Corporate High Yield Index 148.26 +.06%
- 2-Year Swap Spread 24.25 -.75 basis point
- TED Spread 36.25 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.25 +4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.15 +.39%
- 3-Month T-Bill Yield 1.97% +2.0 basis points
- Yield Curve 28.25 -1.0 basis point
- China Iron Ore Spot 63.0 USD/Metric Tonne +.16%
- Citi US Economic Surprise Index 13.90 +.6 point
- Citi Eurozone Economic Surprise Index -36.70 -6.0 points
- Citi Emerging Markets Economic Surprise Index -1.70 +1.3 points
- 10-Year TIPS Spread 2.13 -1.0 basis point
- 86.5% chance of Fed rate hike at Sept. 26th meeting, 86.9% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +64 open in Japan
- China A50 Futures: Indicating -108 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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