- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.9 +11.3%
- Bloomberg Global Risk On/Risk Off Index 3,128.0 -94.0 points
- Euro/Yen Carry Return Index 137.10 -.19%
- Emerging Markets Currency Volatility(VXY) 9.3 +.3%
- S&P 500 Implied Correlation 52.7 +4.4%
- ISE Sentiment Index 97.0 -32.0 points
- Total Put/Call .88 -2.2%
- NYSE Arms .60 +7.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.51 +1.35%
- US Energy High-Yield OAS 432.64 -.02%
- European Financial Sector CDS Index 59.62 +.66%
- Italian/German 10Y Yld Spread 123.0 +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 84.0 -.08%
- Emerging Market CDS Index 162.11 +1.65%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.31 +.03%
- 2-Year Swap Spread 10.0 -1.0 basis point
- TED Spread 15.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -.5 -.5 basis point
- MBS 5/10 Treasury Spread 63.25 unch.
- IHS Markit CMBX BBB- 6 71.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.44 +.10%
- 3-Month T-Bill Yield .00% -1.0 basis point
- Yield Curve 147.0 -3.0 basis points
- China Iron Ore Spot 213.5 USD/Metric Tonne +7.1%
- Citi US Economic Surprise Index 12.4 -11.5 points
- Citi Eurozone Economic Surprise Index 149.60 -8.4 points
- Citi Emerging Markets Economic Surprise Index 50.10 -21.6 points
- 10-Year TIPS Spread 2.55 +1.0 basis point
- 91.0% chance of no change at Sept. 22nd meeting, 91.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -114 open in Japan
- China A50 Futures: Indicating -27 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Slightly Higher: On gains in my commodity sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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