Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.43 +6.6%
- Euro/Yen Carry Return Index 118.21 -.11%
- Emerging Markets Currency Volatility(VXY) 10.02 +.10%
- S&P 500 Implied Correlation 46.03 +5.94%
- ISE Sentiment Index 52.0 -45.26%
- Total Put/Call .84 -7.69%
- NYSE Arms 1.20 +19.18%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.11 +1.26%
- America Energy Sector High-Yield CDS Index 718.0 -2.08%
- European Financial Sector CDS Index 88.12 +3.02%
- Western Europe Sovereign Debt CDS Index 24.87 -.04%
- Asia Pacific Sovereign Debt CDS Index 44.21 -1.37%
- Emerging Market CDS Index 242.73 -.42%
- iBoxx Offshore RMB China Corporate High Yield Index 131.80 +.14%
- 2-Year Swap Spread 27.75 -.75 basis point
- TED Spread 52.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -43.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.59 +.46%
- 3-Month T-Bill Yield .28% unch.
- Yield Curve 83.0 unch.
- China Import Iron Ore Spot $60.58/Metric Tonne -1.59%
- Citi US Economic Surprise Index 17.40 -1.6 points
- Citi Eurozone Economic Surprise Index 27.9 -1.0 point
- Citi Emerging Markets Economic Surprise Index 3.70 +.8 point
- 10-Year TIPS Spread 1.46% -3.0 basis points
- 20.0% chance of Fed rate hike at Nov. 2 meeting, 40.8% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -55 open in Japan
- China A50 Futures: Indicating +20 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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