- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.0 +3.7%
- Bloomberg Global Risk On/Risk Off Index 3,344.0 -14.0 points
- Euro/Yen Carry Return Index 137.90 +.05%
- Emerging Markets Currency Volatility(VXY) 8.6 unch.
- S&P 500 Implied Correlation 47.0 -1.2%
- ISE Sentiment Index 152.0 +21.0 points
- Total Put/Call .68 -4.2%
- NYSE Arms 1.23 -18.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 48.9 +.61%
- US Energy High-Yield OAS 325.11 -.10%
- European Financial Sector CDS Index 55.11 +.09%
- Italian/German 10Y Yld Spread 102.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 82.93 +.05%
- Emerging Market CDS Index 152.90 +1.31%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.15 unch.
- 2-Year Swap Spread 7.75 +1.0 basis point
- TED Spread 10.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 -.25 basis point
- MBS 5/10 Treasury Spread 70.75 +1.75 basis points
- IHS Markit CMBX BBB- 6 74.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.36 -.46%
- 3-Month T-Bill Yield .01% -1.0 basis point
- Yield Curve 133.0 +1.0 basis point
- China Iron Ore Spot 209.50 USD/Metric Tonne -.8%
- Citi US Economic Surprise Index 50.0 -6.6 points
- Citi Eurozone Economic Surprise Index 122.60 -2.8 points
- Citi Emerging Markets Economic Surprise Index 86.3 -.7 point
- 10-Year TIPS Spread 2.39 +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 -71 open in Japan
- China A50 Futures: Indicating -145 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment