- Advance/Decline Line: Substantially Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.2 +8.7%
- Bloomberg Global Risk On/Risk Off Index 3,446.0 -43.0 points
- Euro/Yen Carry Return Index 138.27 -.13%
- Emerging Markets Currency Volatility(VXY) 9.1 -.9%
- S&P 500 Implied Correlation 47.9 +2.3%
- ISE Sentiment Index 118.0 +7.0 points
- Total Put/Call .63 -12.5%
- NYSE Arms .55 -65.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.70 -1.3%
- US Energy High-Yield OAS 428.48 -1.6%
- European Financial Sector CDS Index 57.40 -1.8%
- Italian/German 10Y Yld Spread 108.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 86.08 +.45%
- Emerging Market CDS Index 158.05 -1.3%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.29 -.15%
- 2-Year Swap Spread 8.75 +.25 basis point
- TED Spread 12.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 -.5 basis point
- MBS 5/10 Treasury Spread 63.5 +1.25 basis points
- IHS Markit CMBX BBB- 6 72.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 61.53 +.08%
- 3-Month T-Bill Yield .01% unch.
- Yield Curve 147.0 unch.
- China Iron Ore Spot 198.80 USD/Metric Tonne +6.6%
- Citi US Economic Surprise Index 8.8 +4.4 points
- Citi Eurozone Economic Surprise Index 156.40 +1.7 points
- Citi Emerging Markets Economic Surprise Index 59.90 +5.9 points
- 10-Year TIPS Spread 2.47 +2.0 basis points
- 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 +21 open in Japan
- China A50 Futures: Indicating +65 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Higher: On gains in my technology/commodity/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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