- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.6 -10.8%
- Bloomberg Global Risk On/Risk Off Index 2,714.0 +125.0 points
- Euro/Yen Carry Return Index 136.68 -.17%
- Emerging Markets Currency Volatility(VXY) 9.49 +.42%
- S&P 500 Implied Correlation 53.2 -4.1%
- ISE Sentiment Index 111.0 +31.0 points
- Total Put/Call .98 -2.0%
- NYSE Arms 1.51 +60.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.7 -1.4%
- US Energy High-Yield OAS 433.27 +.84%
- European Financial Sector CDS Index 61.26 -1.0%
- Italian/German 10Y Yld Spread 118.0 +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.13 +3.37%
- Emerging Market CDS Index 163.93 -1.22%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.21 -.17%
- 2-Year Swap Spread 10.5 unch.
- TED Spread 15.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.0 unch.
- MBS 5/10 Treasury Spread 63.5 +1.5 basis points
- IHS Markit CMBX BBB- 6 71.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.09 +.09%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 152.0 +6.0 basis points
- China Iron Ore Spot 207.0 USD/Metric Tonne -9.3%
- Citi US Economic Surprise Index 44.0 -4.5 points
- Citi Eurozone Economic Surprise Index 160.1 -1.9 points
- Citi Emerging Markets Economic Surprise Index 70.60 -.2 point
- 10-Year TIPS Spread 2.54 -3.0 basis points
- 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 +227 open in Japan
- China A50 Futures: Indicating -26 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial/tech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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