Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.5 -4.3%
- Euro/Yen Carry Return Index 126.54 -.45%
- Emerging Markets Currency Volatility(VXY) 7.87 -2.0%
- S&P 500 Implied Correlation 33.43 -4.02%
- ISE Sentiment Index 73.0 -20.0%
- Total Put/Call .81 -7.95%
- NYSE Arms 1.22 +25.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.57 -1.01%
- America Energy Sector High-Yield CDS Index 610.0 +1.36%
- European Financial Sector CDS Index 60.30 -2.96%
- Italian/German 10Y Yld Spread 220.5 -11.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 61.45 -1.34%
- Emerging Market CDS Index 163.09 +1.53%
- iBoxx Offshore RMB China Corporate High Yield Index 164.25 -.01%
- 2-Year Swap Spread 4.25 -.75 basis point
- TED Spread 17.25 -7.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -16.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.59 -.09%
- 3-Month T-Bill Yield 2.17% +5.0 basis points
- Yield Curve 21.25 -3.25 basis points
- China Iron Ore Spot 117.0 USD/Metric Tonne -2.1%
- Citi US Economic Surprise Index -59.30 -.1 point
- Citi Eurozone Economic Surprise Index -4.6 +1.8 points
- Citi Emerging Markets Economic Surprise Index -34.10 +1.4 points
- 10-Year TIPS Spread 1.66 -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 -100 open in Japan
- China A50 Futures: Indicating -146 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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