Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.07 -1.6%
- Euro/Yen Carry Return Index 118.43 -.18%
- Emerging Markets Currency Volatility(VXY) 10.01 -.30%
- S&P 500 Implied Correlation 44.64 -.6%
- ISE Sentiment Index 52.0 -49.0%
- Total Put/Call .83 -9.78%
- NYSE Arms .99 -43.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.84 -1.34%
- America Energy Sector High-Yield CDS Index 693.0 +1.37%
- European Financial Sector CDS Index 90.72 -2.68%
- Western Europe Sovereign Debt CDS Index 24.48 -2.64%
- Asia Pacific Sovereign Debt CDS Index 41.83 -1.65%
- Emerging Market CDS Index 239.53 -1.55%
- iBoxx Offshore RMB China Corporate High Yield Index 131.65 unch.
- 2-Year Swap Spread 25.0 -.5 basis point
- TED Spread 53.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -39.0 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.22 -.19%
- 3-Month T-Bill Yield .30% +1.0 basis point
- Yield Curve 80.0 -1.0 basis point
- China Import Iron Ore Spot $61.75/Metric Tonne +.85%
- Citi US Economic Surprise Index 10.1 +8.2 points
- Citi Eurozone Economic Surprise Index 28.7 +1.3 points
- Citi Emerging Markets Economic Surprise Index -1.7 -.5 point
- 10-Year TIPS Spread 1.49% +1.0 basis point
- 32.3% chance of Fed rate hike at Nov. 2 meeting, 54.2% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +43 open in Japan
- China A50 Futures: Indicating +25 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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