Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.62 +6.32%
- Euro/Yen Carry Return Index 119.38 +.18%
- Emerging Markets Currency Volatility(VXY) 9.45 +.21%
- S&P 500 Implied Correlation 47.17 -.69%
- ISE Sentiment Index 73.0 -6.41%
- Total Put/Call 1.31 +9.17%
- NYSE Arms 1.58 +56.53%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.03 +4.21%
- America Energy Sector High-Yield CDS Index 773.0 -3.36%
- European Financial Sector CDS Index 91.77 -.77%
- Western Europe Sovereign Debt CDS Index 25.16 -.53%
- Asia Pacific Sovereign Debt CDS Index 47.32 +.05%
- Emerging Market CDS Index 263.23 +1.07%
- iBoxx Offshore RMB China Corporate High Yield Index 131.35 +.02%
- 2-Year Swap Spread 22.5 +.75 basis point
- TED Spread 51.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -46.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.40 -.09%
- 3-Month T-Bill Yield .25% unch.
- Yield Curve 82.0 +2.0 basis points
- China Import Iron Ore Spot $62.27/Metric Tonne +4.88%
- Citi US Economic Surprise Index 13.80 -2.5 points
- Citi Eurozone Economic Surprise Index 29.2 +.9 point
- Citi Emerging Markets Economic Surprise Index -1.70 +4.7 points
- 10-Year TIPS Spread 1.47% -5.0 basis points
- 18.0% chance of Fed rate hike at Nov. 2 meeting, 36.0% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -155 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating -36 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical sector longs and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment