Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.29 +11.9%
- Euro/Yen Carry Return Index 132.89 -.05%
- Emerging Markets Currency Volatility(VXY) 10.04 +1.72%
- S&P 500 Implied Correlation 35.48 +1.95%
- ISE Sentiment Index 107.0 -7.76%
- Total Put/Call .92 +4.55%
- NYSE Arms .98 -7.53%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.65 +3.01%
- America Energy Sector High-Yield CDS Index 398.0 +.78%
- European Financial Sector CDS Index 82.69 +6.11%
- Italian/German 10Y Yld Spread 239.75 +22.5 basis points
- Asia Pacific Sovereign Debt CDS Index 13.91 +4.67%
- Emerging Market CDS Index 187.03 -1.25%
- iBoxx Offshore RMB China Corporate High Yield Index 149.72 -.03%
- 2-Year Swap Spread 26.75 +.75 basis point
- TED Spread 40.50 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.58 -.06%
- 3-Month T-Bill Yield 1.93% unch.
- Yield Curve 35.5 -1.25 basis points
- China Iron Ore Spot 63.90 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 8.60 -1.5 points
- Citi Eurozone Economic Surprise Index -85.70 +.6 point
- Citi Emerging Markets Economic Surprise Index -18.80 +.2 point
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 79.8% chance of Fed rate hike at Sept. 26th meeting, 80.9% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -238 open in Japan
- China A50 Futures: Indicating -118 open in China
- DAX Futures: Indicating -22 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment