Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.18 -4.25%
- Euro/Yen Carry Return Index 119.01 -2.38%
- Emerging Markets Currency Volatility(VXY) 9.43 -2.78%
- S&P 500 Implied Correlation 47.83 -3.2%
- ISE Sentiment Index 62.0 -34.04%
- Total Put/Call 1.31 +45.56%
- NYSE Arms 1.07 +.06%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.24 -1.44%
- America Energy Sector High-Yield CDS Index 796.0 +1.72%
- European Financial Sector CDS Index 92.48 -3.1%
- Western Europe Sovereign Debt CDS Index 25.30 -1.63%
- Asia Pacific Sovereign Debt CDS Index 47.30 -2.76%
- Emerging Market CDS Index 261.66 -1.11%
- iBoxx Offshore RMB China Corporate High Yield Index 131.33 +.10%
- 2-Year Swap Spread 21.75 +.5 basis point
- TED Spread 51.75 +6.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.75 +5.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.49 +.78%
- 3-Month T-Bill Yield .25% +2.0 basis points
- Yield Curve 80.0 +1.0 basis point
- China Import Iron Ore Spot $59.37/Metric Tonne -2.19%
- Citi US Economic Surprise Index 16.30 -20.2 points
- Citi Eurozone Economic Surprise Index 28.3 +2.8 points
- Citi Emerging Markets Economic Surprise Index -6.40 +1.3 points
- 10-Year TIPS Spread 1.52% unch.
- 19.8% chance of Fed rate hike at Nov. 2 meeting, 35.7% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -209 open in Japan
- China A50 Futures: Indicating +25 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment