Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.5 -2.4%
- Bloomberg Global Risk On/Risk Off Index 3,485.0 +14.0 points
- Euro/Yen Carry Return Index 138.24 +.04%
- Emerging Markets Currency Volatility(VXY) 9.1 +.33%
- S&P 500 Implied Correlation 50.4 +4.3%
- ISE Sentiment Index 185.0 +72.0 points
- Total Put/Call .66 unch.
- NYSE Arms .58 -19.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.09 +.01%
- US Energy High-Yield OAS 424.47 -.76%
- European Financial Sector CDS Index 57.34 -.1%
- Italian/German 10Y Yld Spread 108.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 86.25 +.23%
- Emerging Market CDS Index 157.04 -.64%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.35 +.54%
- 2-Year Swap Spread 8.25 -.5 basis point
- TED Spread 11.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 -1.25 basis points
- MBS 5/10 Treasury Spread 64.75 +1.25 basis points
- IHS Markit CMBX BBB- 6 72.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.67 +.26%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 146.0 -1.0 basis point
- China Iron Ore Spot 196.50 USD/Metric Tonne -2.1%
- Citi US Economic Surprise Index 9.2 +.4 point
- Citi Eurozone Economic Surprise Index 151.0 -5.4 points
- Citi Emerging Markets Economic Surprise Index 59.50 -.4 point
- 10-Year TIPS Spread 2.46 -1.0 basis point
- 93.0% chance of no change at Sept. 22nd meeting, 93.0% chance of no change at Nov. 3rd meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -66 open in Japan
- China A50 Futures: Indicating +65 open in China
- DAX Futures: Indicating -14 open in Germany
Portfolio:
- Slightly Higher: On gains in my technology/commodity sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment