Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.99 -9.67%
- Euro/Yen Carry Return Index 133.29 +.37%
- Emerging Markets Currency Volatility(VXY) 7.61 +1.87%
- S&P 500 Implied Correlation 33.19 -3.35%
- ISE Sentiment Index 76.0 -7.32%
- Total Put/Call .95 +21.79%
- NYSE Arms .64 -31.96%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.0 -1.48%
- America Energy Sector High-Yield CDS Index 476.0 +.62%
- European Financial Sector CDS Index 52.77 +.23%
- Western Europe Sovereign Debt CDS Index 6.39 +6.15%
- Asia Pacific Sovereign Debt CDS Index 19.53 +1.75%
- Emerging Market CDS Index 198.04 -1.01%
- iBoxx Offshore RMB China Corporate High Yield Index 139.57 unch.
- 2-Year Swap Spread 21.75 +1.75 basis points
- TED Spread 29.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -29.0 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.05 +.26%
- 3-Month T-Bill Yield 1.0% unch.
- Yield Curve 87.0 +4.0 basis points
- China Import Iron Ore Spot $62.33/Metric Tonne +4.41%
- Citi US Economic Surprise Index -76.40 +1.1 points
- Citi Eurozone Economic Surprise Index 11.20 +2.0 points
- Citi Emerging Markets Economic Surprise Index 10.40 unch.
- 10-Year TIPS Spread 1.75 +3.0 basis points
- 27.8% chance of Fed rate hike at Sept. 20 meeting, 29.3% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +125 open in Japan
- China A50 Futures: Indicating -67 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 100% Net Long
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