Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 30.97 -2.6%
- Euro/Yen Carry Return Index 125.70 +.24%
- Emerging Markets Currency Volatility(VXY) 10.62 -.38%
- S&P 500 Implied Correlation 64.2 +.58%
- ISE Sentiment Index 105.0 -14.0 points
- Total Put/Call .80 -16.7%
- NYSE Arms 1.26 +193.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.01 -3.25%
- US Energy High-Yield OAS 1,002.55 +1.03%
- European Financial Sector CDS Index 79.76 -5.95%
- Italian/German 10Y Yld Spread 177.5 unch.
- Asia Ex-Japan Investment Grade CDS Index 86.53 -.81%
- Emerging Market CDS Index 197.15 -3.17%
- iBoxx Offshore RMB China Corporate High Yield Index 169.58 +.12%
- 2-Year Swap Spread 7.5 +.75 basis point
- TED Spread 17.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.5 +.75 basis point
- MBS 5/10 Treasury Spread 109.0 -2.0 basis points
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.06 -.25%
- 3-Month T-Bill Yield .13% unch.
- Yield Curve 48.5 +.75 basis point
- China Iron Ore Spot 95.69 USD/Metric Tonne -2.84%
- Citi US Economic Surprise Index 181.20 +13.8 points
- Citi Eurozone Economic Surprise Index -90.20 +9.6 points
- Citi Emerging Markets Economic Surprise Index -25.50 +.5 point
- 10-Year TIPS Spread 1.34 +1.0 basis point
- 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +22 open in Japan
- China A50 Futures: Indicating -259 open in China
- DAX Futures: Indicating -41 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment