Broad Equity Market Tone:
- Advance/Decline Line: Around Average
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.0 +2.4%
- Euro/Yen Carry Return Index 126.06 -.08%
- Emerging Markets Currency Volatility(VXY) 6.95 -.29%
- S&P 500 Implied Correlation 33.51 +.15%
- ISE Sentiment Index 106.0 +32.5%
- Total Put/Call .97 +1.04%
- NYSE Arms 1.30 -12.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.60 +2.12%
- America Energy Sector High-Yield CDS Index 608.0 +.70%
- European Financial Sector CDS Index 60.50 +3.63%
- Italian/German 10Y Yld Spread 185.50 -4.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 63.80 +.90%
- Emerging Market CDS Index 159.77 +.33%
- iBoxx Offshore RMB China Corporate High Yield Index 165.05 -.03%
- 2-Year Swap Spread 3.0 -.25 basis point
- TED Spread 24.74 +5.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -17.0 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.65 -.22%
- 3-Month T-Bill Yield 2.14% +1.0 basis point
- Yield Curve 26.0 -.25 basis point
- China Iron Ore Spot 117.0 USD/Metric Tonne +.83%
- Citi US Economic Surprise Index -42.0 +2.4 points
- Citi Eurozone Economic Surprise Index -8.80 -1.2 points
- Citi Emerging Markets Economic Surprise Index -28.60 +2.6 points
- 10-Year TIPS Spread 1.80 +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 -30 open in Japan
- China A50 Futures: Indicating -33 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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