Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.67 -2.84%
- Euro/Yen Carry Return Index 122.96 +1.18%
- Emerging Markets Currency Volatility(VXY) 9.84 -.91%
- S&P 500 Implied Correlation 47.04 +.79%
- ISE Sentiment Index 93.0 +56.73%
- Total Put/Call .88 +11.39%
- NYSE Arms .52 -48.06%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.72 -.84%
- America Energy Sector High-Yield CDS Index 722.0 +1.65%
- European Financial Sector CDS Index 95.75 -2.54%
- Western Europe Sovereign Debt CDS Index 25.60 -16.17%
- Asia Pacific Sovereign Debt CDS Index 47.79 -1.73%
- Emerging Market CDS Index 248.08 -.33%
- iBoxx Offshore RMB China Corporate High Yield Index 130.64 +.07%
- 2-Year Swap Spread 17.75 +2.0 basis points
- TED Spread 37.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -43.75 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.06 +.54%
- 3-Month T-Bill Yield .31% +1.0 basis point
- Yield Curve 86.0 +6.0 basis points
- China Import Iron Ore Spot $58.47/Metric Tonne -1.15%
- Citi US Economic Surprise Index 1540 +2.4 points
- Citi Eurozone Economic Surprise Index 4.5 +.1 point
- Citi Emerging Markets Economic Surprise Index -16.80 -.1 point
- 10-Year TIPS Spread 1.49% +2.0 basis points
- 19.2% chance of Fed rate hike at Sept. 21 meeting, 19.2% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +225 open in Japan
- China A50 Futures: Indicating +14 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment