Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.80 -3.49%
- Euro/Yen Carry Return Index 135.72 +.16%
- Emerging Markets Currency Volatility(VXY) 7.81 -1.26%
- S&P 500 Implied Correlation 34.86 -6.3%
- ISE Sentiment Index 89.0 +23.6%
- Total Put/Call .86 -7.83%
- NYSE Arms .74 -49.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.64 -.34%
- America Energy Sector High-Yield CDS Index 485.0 +2.62%
- European Financial Sector CDS Index 53.67 -2.83%
- Western Europe Sovereign Debt CDS Index 6.53 +8.55%
- Asia Pacific Sovereign Debt CDS Index 22.32 -2.7%
- Emerging Market CDS Index 201.53 -2.16%
- iBoxx Offshore RMB China Corporate High Yield Index 140.02 +.09%
- 2-Year Swap Spread 25.5 +1.0 basis point
- TED Spread 27.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.47 +.09%
- 3-Month T-Bill Yield 1.03% unch.
- Yield Curve 99.0 unch.
- China Import Iron Ore Spot $64.05/Metric Tonne +1.99%
- Citi US Economic Surprise Index -55.50 +3.0 points
- Citi Eurozone Economic Surprise Index 37.70 -2.4 points
- Citi Emerging Markets Economic Surprise Index 15.60 -2.7 points
- 10-Year TIPS Spread 1.73 -2.0 basis points
- 26.1% chance of Fed rate hike at Sept. 20 meeting, 27.6% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +35 open in Japan
- China A50 Futures: Indicating -68 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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