Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.73 +7.79%
- Euro/Yen Carry Return Index 118.04 -.18%
- Emerging Markets Currency Volatility(VXY) 9.85 -1.5%
- S&P 500 Implied Correlation 47.07 +5.4%
- ISE Sentiment Index 90.0 -13.46%
- Total Put/Call .93 +20.78%
- NYSE Arms .70 +6.99%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.81 +.47%
- America Energy Sector High-Yield CDS Index 705.0 -2.12%
- European Financial Sector CDS Index 85.55 -1.67%
- Western Europe Sovereign Debt CDS Index 23.90 +4.73%
- Asia Pacific Sovereign Debt CDS Index 44.43 +1.83%
- Emerging Market CDS Index 239.09 -.30%
- iBoxx Offshore RMB China Corporate High Yield Index 131.80 +.02%
- 2-Year Swap Spread 23.50 unch.
- TED Spread 55.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -39.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.96 +.32%
- 3-Month T-Bill Yield .27% -1.0 basis point
- Yield Curve 83.0 unch.
- China Import Iron Ore Spot $62.03/Metric Tonne +3.01%
- Citi US Economic Surprise Index 6.0 -1.7 points
- Citi Eurozone Economic Surprise Index 27.6 -.8 point
- Citi Emerging Markets Economic Surprise Index -.6 -.2 point
- 10-Year TIPS Spread 1.45% -1.0 basis point
- 25.3% chance of Fed rate hike at Nov. 2 meeting, 50.5% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -31 open in Japan
- China A50 Futures: Indicating +60 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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