Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.21 +.99%
- Euro/Yen Carry Return Index 136.26 +.45%
- Emerging Markets Currency Volatility(VXY) 7.74 -.64%
- S&P 500 Implied Correlation 34.77 -3.53%
- ISE Sentiment Index 125.0 +95.3%
- Total Put/Call 1.05 +16.7%
- NYSE Arms .81 -3.66%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.95 +.35%
- America Energy Sector High-Yield CDS Index 480.0 -1.31%
- European Financial Sector CDS Index 53.62 -.1%
- Western Europe Sovereign Debt CDS Index 6.22 -4.82%
- Asia Pacific Sovereign Debt CDS Index 21.92 -1.77%
- Emerging Market CDS Index 202.87 +.59%
- iBoxx Offshore RMB China Corporate High Yield Index 140.08 +.05%
- 2-Year Swap Spread 25.0 -1.0 basis point
- TED Spread 26.25-1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -27.5 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.47 unch.
- 3-Month T-Bill Yield 1.04% +1.0 basis point
- Yield Curve 99.0 unch.
- China Import Iron Ore Spot $65.40/Metric Tonne +2.11%
- Citi US Economic Surprise Index -58.40 -2.9 points
- Citi Eurozone Economic Surprise Index 37.80 +.1 point
- Citi Emerging Markets Economic Surprise Index 13.70 -1.9 points
- 10-Year TIPS Spread 1.75 +2.0 basis points
- 24.3% chance of Fed rate hike at Sept. 20 meeting, 25.9% chance at Nov. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -45 open in Japan
- China A50 Futures: Indicating -23 open in China
- DAX Futures: Indicating +30 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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