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) 28.03 +1.3%
- Euro/Yen Carry Return Index 125.96 +.51%
- Emerging Markets Currency Volatility(VXY) 9.98 +.71%
- S&P 500 Implied Correlation 62.4 -.05%
- ISE Sentiment Index 112.0 +14.0 points
- Total Put/Call .68 -20.0%
- NYSE Arms .77 -9.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.15 -2.62%
- US Energy High-Yield OAS 965.72 -1.32%
- European Financial Sector CDS Index 71.66 -5.0%
- Italian/German 10Y Yld Spread 164.5 -13.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 79.89 -1.39%
- Emerging Market CDS Index 175.91 +.74%
- iBoxx Offshore RMB China Corporate High Yield Index 169.88 +.12%
- 2-Year Swap Spread 6.25 -1.0 basis point
- TED Spread 14.0 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -2.0 basis points
- MBS 5/10 Treasury Spread 104.0 -4.0 basis points
- IHS Markit CMBX BBB- 6 69.0 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.61 +.12%
- 3-Month T-Bill Yield .14% unch.
- Yield Curve 53.75 +2.75 basis points
- China Iron Ore Spot 99.10 USD/Metric Tonne +1.6%
- Citi US Economic Surprise Index 213.60 +25.7 points
- Citi Eurozone Economic Surprise Index -46.70 +19.2 points
- Citi Emerging Markets Economic Surprise Index -22.60 -1.5 points
- 10-Year TIPS Spread 1.45 +5.0 basis points
- 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 -94 open in Japan
- China A50 Futures: Indicating +205 open in China
- DAX Futures: Indicating -40 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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