Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.92 +2.13%
- Euro/Yen Carry Return Index 118.89 +.33%
- Emerging Markets Currency Volatility(VXY) 10.03 unch.
- S&P 500 Implied Correlation 46.74 +2.52%
- ISE Sentiment Index 93.0 +4.49%
- Total Put/Call 1.02 -10.53%
- NYSE Arms .67 -27.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.18 -.33%
- America Energy Sector High-Yield CDS Index 689 -.42%
- European Financial Sector CDS Index 89.25 -1.92%
- Western Europe Sovereign Debt CDS Index 24.69 +.24%
- Asia Pacific Sovereign Debt CDS Index 40.27 -.70%
- Emerging Market CDS Index 241.88 -.89%
- iBoxx Offshore RMB China Corporate High Yield Index 131.69 +.04%
- 2-Year Swap Spread 22.25 -.25 basis point
- TED Spread 51.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -39.25 -.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.79 -.20%
- 3-Month T-Bill Yield .32% +1.0 basis point
- Yield Curve 77.0 -2.0 basis points
- China Import Iron Ore Spot $59.13/Metric Tonne -3.76%
- Citi US Economic Surprise Index 11.1 -1.1 points
- Citi Eurozone Economic Surprise Index 21.2 unch.
- Citi Emerging Markets Economic Surprise Index -3.6 -1.0 point
- 10-Year TIPS Spread 1.51% +1.0 basis point
- 43.3% chance of Fed rate hike at Nov. 2 meeting, 62.3% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +154 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating -77 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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