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) 16.8 +2.3%
- Bloomberg Global Risk On/Risk Off Index 3,508.0 -12.0 points
- Euro/Yen Carry Return Index 137.65 -.07%
- Emerging Markets Currency Volatility(VXY) 8.8 -2.0%
- S&P 500 Implied Correlation 51.2 +4.2%
- ISE Sentiment Index 122.0 +10.0 points
- Total Put/Call .65 -22.6%
- NYSE Arms .95 -34.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.12 -.23%
- US Energy High-Yield OAS 415.30 -1.0%
- European Financial Sector CDS Index 57.44 -.5%
- Italian/German 10Y Yld Spread 111.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 83.59 -1.6%
- Emerging Market CDS Index 157.16 +.03%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.31 +.46%
- 2-Year Swap Spread 7.25 -.5 basis point
- TED Spread 11.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -.75 basis point
- MBS 5/10 Treasury Spread 67.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 74.25 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.68 +.04%
- 3-Month T-Bill Yield .02% unch.
- Yield Curve 142.0 -4.0 basis points
- China Iron Ore Spot 192.7 USD/Metric Tonne -3.1%
- Citi US Economic Surprise Index 13.0 +3.5 points
- Citi Eurozone Economic Surprise Index 139.3 -9.7 points
- Citi Emerging Markets Economic Surprise Index 60.10 +.5 point
- 10-Year TIPS Spread 2.41 -1.0 basis point
- 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 +131 open in Japan
- China A50 Futures: Indicating -67 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment