Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.7 +1.6%
- Bloomberg Global Risk On/Risk Off Index 3,413.0 -110.0 points
- Euro/Yen Carry Return Index 137.8 +.12%
- Emerging Markets Currency Volatility(VXY) 8.6 -1.3%
- S&P 500 Implied Correlation 48.0 -4.1%
- ISE Sentiment Index 137.0 +18.0 points
- Total Put/Call .63 -7.4%
- NYSE Arms 1.4 +8.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.31 +.08%
- US Energy High-Yield OAS 413.03 -.44%
- European Financial Sector CDS Index 57.24 -.30%
- Italian/German 10Y Yld Spread 109.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 83.19 -.66%
- Emerging Market CDS Index 153.57 -2.3%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.37 +.38%
- 2-Year Swap Spread 7.0 -.25 basis point
- TED Spread 11.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -.25 basis point
- MBS 5/10 Treasury Spread 68.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 74.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.70 +.04%
- 3-Month T-Bill Yield .02% unch.
- Yield Curve 141.0 -1.0 basis point
- China Iron Ore Spot 203.0 USD/Metric Tonne +6.6%
- Citi US Economic Surprise Index 13.6 +.6 point
- Citi Eurozone Economic Surprise Index 130.5 -9.8 points
- Citi Emerging Markets Economic Surprise Index 63.10 +3.0 points
- 10-Year TIPS Spread 2.38 -3.0 basis points
- 95.0% chance of no change at Sept. 22nd meeting, 95.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +51 open in Japan
- China A50 Futures: Indicating -65 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial/commodity sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment