Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.65 -1.33%
- Euro/Yen Carry Return Index 122.03 -.33%
- Emerging Markets Currency Volatility(VXY) 9.69 -.51%
- S&P 500 Implied Correlation 49.30 +3.90%
- ISE Sentiment Index 99.0 -3.88%
- Total Put/Call .86 +38.71%
- NYSE Arms 1.68 +168.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.43 +.13%
- America Energy Sector High-Yield CDS Index 715.0 -1.55%
- European Financial Sector CDS Index 97.68 +2.02%
- Western Europe Sovereign Debt CDS Index 25.59 -.04%
- Asia Pacific Sovereign Debt CDS Index 46.81 -1.12%
- Emerging Market CDS Index 251.52 +1.55%
- iBoxx Offshore RMB China Corporate High Yield Index 130.75 +.09%
- 2-Year Swap Spread 19.75 +2.0 basis points
- TED Spread 37.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -48.0 -4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.84 -.29%
- 3-Month T-Bill Yield .31% unch.
- Yield Curve 89.0 +3.0 basis points
- China Import Iron Ore Spot $58.42/Metric Tonne -.09%
- Citi US Economic Surprise Index 21.90 +6.5 points
- Citi Eurozone Economic Surprise Index 4.5 unch.
- Citi Emerging Markets Economic Surprise Index -12.20 +4.6 points
- 10-Year TIPS Spread 1.51% +2.0 basis points
- 22.7% chance of Fed rate hike at Sept. 21 meeting, 22.7% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +108 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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