Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.78 +5.41%
- Euro/Yen Carry Return Index 116.45 -.91%
- Emerging Markets Currency Volatility(VXY) 10.19 -.59%
- S&P 500 Implied Correlation 54.53 +3.38%
- ISE Sentiment Index 86.0 -1.15%
- Total Put/Call .81 -20.59%
- NYSE Arms 1.32 +60.40%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.41 +1.36%
- America Energy Sector High-Yield CDS Index 782.0 -.56%
- European Financial Sector CDS Index 117.60 +1.02%
- Western Europe Sovereign Debt CDS Index 32.33 +.78%
- Asia Pacific Sovereign Debt CDS Index 53.93 -1.21%
- Emerging Market CDS Index 271.89 +.84%
- iBoxx Offshore RMB China Corporate High Yield Index 130.22 -.03%
- 2-Year Swap Spread 17.0 +.25 basis point
- TED Spread 37.75 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -43.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.86 -.11%
- 3-Month T-Bill Yield .28% +1.0 basis point
- Yield Curve 80.0 unch.
- China Import Iron Ore Spot $55.07/Metric Tonne -1.54%
- Citi US Economic Surprise Index -3.1 +4.0 points
- Citi Eurozone Economic Surprise Index 10.1 -4.1 points
- Citi Emerging Markets Economic Surprise Index -14.90 -.7 point
- 10-Year TIPS Spread 1.46% -1.0 basis point
- 4.0% chance of Fed rate hike at Sept. 21 meeting, 3.9% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +38 open in Japan
- China A50 Futures: Indicating -115 open in China
- DAX Futures: Indicating -52 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical sector longs and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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