Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.4 -1.3%
- Euro/Yen Carry Return Index 136.52 -.11%
- Emerging Markets Currency Volatility(VXY) 10.18 +.59%
- S&P 500 Implied Correlation 31.08 +.16%
- ISE Sentiment Index 173.0 +49.1%
- Total Put/Call .93 +3.33%
- NYSE Arms 1.22 +29.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.32 -2.40%
- America Energy Sector High-Yield CDS Index 379.0 -1.75%
- European Financial Sector CDS Index 76.88 -2.57%
- Italian/German 10Y Yld Spread 221.0 -5.75 basis points
- Asia Pacific Sovereign Debt CDS Index 13.60 -4.93%
- Emerging Market CDS Index 174.49 -1.41%
- iBoxx Offshore RMB China Corporate High Yield Index 147.96 +.02%
- 2-Year Swap Spread 22.5 -1.0 basis point
- TED Spread 37.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75-.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.71 +.09%
- 3-Month T-Bill Yield 1.96% -1.0 basis point
- Yield Curve 25.0 -1.0 basis point
- China Iron Ore Spot 63.38 USD/Metric Tonne -.13%
- Citi US Economic Surprise Index 13.90 -1.0 point
- Citi Eurozone Economic Surprise Index -35.0 +.6 point
- Citi Emerging Markets Economic Surprise Index -1.0 +1.0 point
- 10-Year TIPS Spread 2.12 +1.0 basis point
- 86.2% chance of Fed rate hike at Sept. 26th meeting, 87.0% chance at November 8th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -22 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Higher: On gains in my industrial/biotech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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