Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.6 -.61%
- Bloomberg Global Risk On/Risk Off Index 3,267.0 +50.0 points
- Euro/Yen Carry Return Index 137.56 +.30%
- Emerging Markets Currency Volatility(VXY) 9.3 -.2%
- S&P 500 Implied Correlation 52.9 +3.1%
- ISE Sentiment Index 122.0 +18.0 points
- Total Put/Call .81 -10.0%
- NYSE Arms 1.21 +89.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.93 +.94%
- US Energy High-Yield OAS 431.90 +.01%
- European Financial Sector CDS Index 60.72 +1.85%
- Italian/German 10Y Yld Spread 121.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.25 +1.27%
- Emerging Market CDS Index 161.93 -.11%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.30 -.17%
- 2-Year Swap Spread 10.0 unch.
- TED Spread 15.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap .75 +1.25 basis points
- MBS 5/10 Treasury Spread 63.25 unch.
- IHS Markit CMBX BBB- 6 71.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.59 +.28%
- 3-Month T-Bill Yield .00% unch.
- Yield Curve 149.0 +2.0 basis points
- China Iron Ore Spot 208.15 USD/Metric Tonne -3.4%
- Citi US Economic Surprise Index 4.3 -8.1 points
- Citi Eurozone Economic Surprise Index 146.10 -3.5 points
- Citi Emerging Markets Economic Surprise Index 51.10 +1.0 points
- 10-Year TIPS Spread 2.55 unch.
- 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 -136 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating -14 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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