Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.3 +5.9%
- Euro/Yen Carry Return Index 126.51 +.1%
- Emerging Markets Currency Volatility(VXY) 7.62 -.78%
- S&P 500 Implied Correlation 32.0 +1.1%
- ISE Sentiment Index 121.0 +23.5%
- Total Put/Call .91 unch.
- NYSE Arms .65 -27.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.75 +2.35%
- America Energy Sector High-Yield CDS Index 604.0 -.02%
- European Financial Sector CDS Index 61.11 +2.23%
- Italian/German 10Y Yld Spread 210.75 -13.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 62.65 +1.83%
- Emerging Market CDS Index 163.89 +.78%
- iBoxx Offshore RMB China Corporate High Yield Index 164.55 +.06%
- 2-Year Swap Spread 3.25 -.25 basis point
- TED Spread 13.0 -5.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -19.0 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.52 -.41%
- 3-Month T-Bill Yield 2.22% +2.0 basis points
- Yield Curve 17.25 -1.5 basis points
- China Iron Ore Spot 108.50 USD/Metric Tonne +.32%
- Citi US Economic Surprise Index -58.50 +7.1 points
- Citi Eurozone Economic Surprise Index -9.9 -7.3 points
- Citi Emerging Markets Economic Surprise Index -35.60 -.9 point
- 10-Year TIPS Spread 1.69 +4.0 basis points
- 100.0% chance of Fed rate cut at Sept. 18th meeting, 100.0% chance of cut at October 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -56 open in Japan
- China A50 Futures: Indicating -189 open in China
- DAX Futures: Indicating +8 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment