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) 10.25 -5.88%
- Euro/Yen Carry Return Index 134.89 -1.05%
- Emerging Markets Currency Volatility(VXY) 7.76 +.13%
- S&P 500 Implied Correlation 32.35 -4.35%
- ISE Sentiment Index 89.0 -58.8%
- Total Put/Call .66 -37.74%
- NYSE Arms 1.23 +40.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.20 -2.62%
- America Energy Sector High-Yield CDS Index 469.0 -2.35%
- European Financial Sector CDS Index 52.35 -2.37%
- Western Europe Sovereign Debt CDS Index 6.15 -1.13%
- Asia Pacific Sovereign Debt CDS Index 21.98 +.25%
- Emerging Market CDS Index 197.68 -2.73%
- iBoxx Offshore RMB China Corporate High Yield Index 140.08 unch.
- 2-Year Swap Spread 25.0 -1.0 basis point
- TED Spread 25.75-.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.91 +.59%
- 3-Month T-Bill Yield 1.04% unch.
- Yield Curve 97.0-2.0 basis points
- China Import Iron Ore Spot $64.05/Metric Tonne -2.06%
- Citi US Economic Surprise Index -56.60 +1.8 points
- Citi Eurozone Economic Surprise Index 38.0 +.2 point
- Citi Emerging Markets Economic Surprise Index 13.10 -.6 point
- 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 +97 open in Japan
- China A50 Futures: Indicating -7 open in China
- DAX Futures: Indicating +20 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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