Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.7 -6.8%
- Euro/Yen Carry Return Index 125.25 -.1%
- Emerging Markets Currency Volatility(VXY) 10.24 -.78%
- S&P 500 Implied Correlation 60.88 -2.33%
- ISE Sentiment Index 98.0 -25.0 points
- Total Put/Call .82 -1.2%
- NYSE Arms .85 -53.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.29 -1.03%
- US Energy High-Yield OAS 978.02 -1.40%
- European Financial Sector CDS Index 75.11 -3.26%
- Italian/German 10Y Yld Spread 177.5 unch.
- Asia Ex-Japan Investment Grade CDS Index 82.63 -1.61%
- Emerging Market CDS Index 175.05 -6.0%
- iBoxx Offshore RMB China Corporate High Yield Index 169.55 -.04%
- 2-Year Swap Spread 7.25 +.25 basis point
- TED Spread 16.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -6.75 +1.25 basis points
- MBS 5/10 Treasury Spread 108.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 70.5 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.61 +.28%
- 3-Month T-Bill Yield .14% +1.0 basis point
- Yield Curve 51.0 -1.75 basis points
- China Iron Ore Spot 95.30 USD/Metric Tonne -.22%
- Citi US Economic Surprise Index 188.10 +3.4 points
- Citi Eurozone Economic Surprise Index -65.90 +2.6 points
- Citi Emerging Markets Economic Surprise Index -21.10 +1.3 points
- 10-Year TIPS Spread 1.40 +5.0 basis points
- 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +243 open in Japan
- China A50 Futures: Indicating +102 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech/consumer staple/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment