- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.8 +6.8%
- Bloomberg Global Risk On/Risk Off Index 3,108.0 -207.0 points
- Euro/Yen Carry Return Index 135.92 -.48%
- Emerging Markets Currency Volatility(VXY) 9.5 unch.
- S&P 500 Implied Correlation 51.8 +9.3%
- ISE Sentiment Index 92.0 -17.0 points
- Total Put/Call .93 +32.9%
- NYSE Arms 1.32 +43.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.48 +.56%
- US Energy High-Yield OAS 438.02 -.17%
- European Financial Sector CDS Index 58.46 -.09%
- Italian/German 10Y Yld Spread 111.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 80.15 -.62%
- Emerging Market CDS Index 167.12 +.66%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.21 -.1%
- 2-Year Swap Spread 11.75 unch.
- TED Spread 17.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 unch.
- MBS 5/10 Treasury Spread 60.0 -2.75 basis points
- IHS Markit CMBX BBB- 6 71.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.81 -.57%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 148.0 +3.0 basis points
- China Iron Ore Spot 179.64 USD/Metric Tonne -6.3%
- Citi US Economic Surprise Index 42.0 +3.1 points
- Citi Eurozone Economic Surprise Index 164.7 +5.5 points
- Citi Emerging Markets Economic Surprise Index 50.4 +7.2 points
- 10-Year TIPS Spread 2.41 -2.0 basis points
- 92.0% chance of no change at Sept. 22nd meeting, 92.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +51 open in Japan
- China A50 Futures: Indicating -97 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Lower: On losses in my industrial/energy/tech/medical sector longs sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment