Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.4 -2.7%
- Euro/Yen Carry Return Index 125.61 -.13%
- Emerging Markets Currency Volatility(VXY) 6.96 -.29%
- S&P 500 Implied Correlation 33.33 -1.45%
- ISE Sentiment Index 89.0 -10.1%
- Total Put/Call .71 -6.58%
- NYSE Arms 1.14 -1.72%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.87 -.06%
- America Energy Sector High-Yield CDS Index 522.0 +.25%
- European Financial Sector CDS Index 58.0 +5.37%
- Italian/German 10Y Yld Spread 194.25 +6.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 57.50 -.42%
- Emerging Market CDS Index 156.55 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 165.06 +.08%
- 2-Year Swap Spread 3.0 +1.25 basis points
- TED Spread 17.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.75 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.29 -.13%
- 3-Month T-Bill Yield 2.11% unch.
- Yield Curve 21.0 -1.0 basis point
- China Iron Ore Spot 113.90 USD/Metric Tonne -.92%
- Citi US Economic Surprise Index -37.2 +3.4 points
- Citi Eurozone Economic Surprise Index -37.50 +2.3 points
- Citi Emerging Markets Economic Surprise Index -20.4 +1.3 points
- 10-Year TIPS Spread 1.78 -2.0 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 +5 open in Japan
- China A50 Futures: Indicating -11 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment