Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.49 -.44%
- Euro/Yen Carry Return Index 12-.96 -.01%
- Emerging Markets Currency Volatility(VXY) 9.89 -.30%
- S&P 500 Implied Correlation 47.24 -.32%
- ISE Sentiment Index 51.0 -51.78%
- Total Put/Call .88 +11.39%
- NYSE Arms 1.39 +116.37%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.74 +1.28%
- America Energy Sector High-Yield CDS Index 713.0 -2.85%
- European Financial Sector CDS Index 98.25 +1.10%
- Western Europe Sovereign Debt CDS Index 30.54 -.31%
- Asia Pacific Sovereign Debt CDS Index 48.55 +.80%
- Emerging Market CDS Index 248.58 +.40%
- iBoxx Offshore RMB China Corporate High Yield Index 130.54 -.3%
- 2-Year Swap Spread 15.75 -.75 basis point
- TED Spread 37.0 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -42.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.67 +.03%
- 3-Month T-Bill Yield .30% +2.0 basis points
- Yield Curve 80.0 -3.0 basis points
- China Import Iron Ore Spot $59.15/Metric Tonne -.39%
- Citi US Economic Surprise Index 13.0 +2.5 points
- Citi Eurozone Economic Surprise Index 4.4 -1.9 points
- Citi Emerging Markets Economic Surprise Index -16.70 unch.
- 10-Year TIPS Spread 1.47% -2.0 basis points
- 13.6% chance of Fed rate hike at Sept. 21 meeting, 13.6% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +174 open in Japan
- China A50 Futures: Indicating +2 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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