Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.11 +5.9%
- Euro/Yen Carry Return Index 118.21 +.14%
- Emerging Markets Currency Volatility(VXY) 10.30 +2.08%
- S&P 500 Implied Correlation 46.44 +4.52%
- ISE Sentiment Index 49.0 unch.
- Total Put/Call .93 +8.14%
- NYSE Arms 1.07 +2.82%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.34 +.84%
- America Energy Sector High-Yield CDS Index 684.0 -1.01%
- European Financial Sector CDS Index 89.73 -1.09%
- Western Europe Sovereign Debt CDS Index 25.14 +2.70%
- Asia Pacific Sovereign Debt CDS Index 41.20 -.93%
- Emerging Market CDS Index 242.36 +.33%
- iBoxx Offshore RMB China Corporate High Yield Index 131.71 +.05%
- 2-Year Swap Spread 22.50 -2.5 basis points
- TED Spread 52.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.89 -.24%
- 3-Month T-Bill Yield .30% unch.
- Yield Curve 80.0 unch.
- China Import Iron Ore Spot $61.70/Metric Tonne -.08%
- Citi US Economic Surprise Index 10.2 +.1 point
- Citi Eurozone Economic Surprise Index 29.1 +.4 point
- Citi Emerging Markets Economic Surprise Index -1.7 unch.
- 10-Year TIPS Spread 1.49% unch.
- 32.6% chance of Fed rate hike at Nov. 2 meeting, 52.6% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -47 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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