Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.8 -4.0%
- Euro/Yen Carry Return Index 135.08 +.35%
- Emerging Markets Currency Volatility(VXY) 9.49 +.96%
- S&P 500 Implied Correlation 33.45 -2.56%
- ISE Sentiment Index 134.0 +36.73%
- Total Put/Call .88 -11.11%
- NYSE Arms .74 +17.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.86 -2.55%
- America Energy Sector High-Yield CDS Index 389.0 -1.87%
- European Financial Sector CDS Index 80.76 -2.97%
- Italian/German 10Y Yld Spread 236.75 -5.75 basis points
- Asia Pacific Sovereign Debt CDS Index 14.39 -4.0%
- Emerging Market CDS Index 169.44 -3.76%
- iBoxx Offshore RMB China Corporate High Yield Index 148.18 -.08%
- 2-Year Swap Spread 25.0 unch.
- TED Spread 37.5 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.75 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.07 +.13%
- 3-Month T-Bill Yield 1.95% +1.0 basis point
- Yield Curve 29.25 +.75 basis point
- China Iron Ore Spot 63.10 USD/Metric Tonne +.33%
- Citi US Economic Surprise Index 13.30 +.7 point
- Citi Eurozone Economic Surprise Index -30.70 +5.4 points
- Citi Emerging Markets Economic Surprise Index -3.0 +2.4 points
- 10-Year TIPS Spread 2.14 unch.
- 83.2% chance of Fed rate hike at Sept. 26th meeting, 84.1% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +113 open in Japan
- China A50 Futures: Indicating -65 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/industrial/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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