Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.8 -2.0%
- Euro/Yen Carry Return Index 121.76 +1.39%
- Emerging Markets Currency Volatility(VXY) 9.85 -2.18%
- S&P 500 Implied Correlation 49.90 -.18%
- ISE Sentiment Index 94.0 +4.44%
- Total Put/Call .84 -7.69%
- NYSE Arms 1.20 +51.99%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.53 -1.23%
- America Energy Sector High-Yield CDS Index 763.0 +.51%
- European Financial Sector CDS Index 94.76 -2.52%
- Western Europe Sovereign Debt CDS Index 25.67 +.08%
- Asia Pacific Sovereign Debt CDS Index 49.09 +.42%
- Emerging Market CDS Index 259.76 -.20%
- iBoxx Offshore RMB China Corporate High Yield Index 131.16 -.08%
- 2-Year Swap Spread 22.25 -.25 basis point
- TED Spread 43.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -50.75 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.89 +.16%
- 3-Month T-Bill Yield .28% -2.0 basis points
- Yield Curve 79.0 -2.5 basis points
- China Import Iron Ore Spot $58.63/Metric Tonne +.95%
- Citi US Economic Surprise Index 37.20 -5.9 points
- Citi Eurozone Economic Surprise Index 16.1 +5.3 points
- Citi Emerging Markets Economic Surprise Index -7.60 +.9 point
- 10-Year TIPS Spread 1.50% unch.
- 26.4% chance of Fed rate hike at Sept. 21 meeting, 28.0% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +45 open in Japan
- China A50 Futures: Indicating -43 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some of them
- Market Exposure: 50% Net Long
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