Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.18 -5.87%
- Euro/Yen Carry Return Index 133.58 -1.4%
- Emerging Markets Currency Volatility(VXY) 9.51 +.11%
- S&P 500 Implied Correlation 34.04 -4.28%
- ISE Sentiment Index 97.0 +22.78%
- Total Put/Call .90 +23.29%
- NYSE Arms 1.18 -1.42%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.43 -3.31%
- America Energy Sector High-Yield CDS Index 377.0 -.21%
- European Financial Sector CDS Index 75.87 -6.55%
- Italian/German 10Y Yld Spread 231.25 -1.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.71 -.74%
- Emerging Market CDS Index 188.31 +2.39%
- iBoxx Offshore RMB China Corporate High Yield Index 150.04 +.17%
- 2-Year Swap Spread 26.75 +.25 basis point
- TED Spread 41.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.03 -.77%
- 3-Month T-Bill Yield 1.92% -1.0 basis point
- Yield Curve 37.25 -2.75 basis points
- China Iron Ore Spot 65.80 USD/Metric Tonne -.6%
- Citi US Economic Surprise Index 16.20 +6.6 points
- Citi Eurozone Economic Surprise Index -98.90 +1.4 points
- Citi Emerging Markets Economic Surprise Index -26.70 -9.7 points
- 10-Year TIPS Spread 2.13 -1.0 basis point
- 84.5% chance of Fed rate hike at Sept. 26th meeting, 85.4% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +142 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating +41 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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