Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.17 -1.5%
- Euro/Yen Carry Return Index 117.79 -.44%
- Emerging Markets Currency Volatility(VXY) 9.71 +1.04%
- S&P 500 Implied Correlation 48.61 -1.28%
- ISE Sentiment Index 139.0 +73.75%
- Total Put/Call .89 -22.91%
- NYSE Arms .68 -20.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.97 -2.42%
- America Energy Sector High-Yield CDS Index 798.0 -.56%
- European Financial Sector CDS Index 96.48 -1.20%
- Western Europe Sovereign Debt CDS Index 24.06 +.54%
- Asia Pacific Sovereign Debt CDS Index 47.56 -1.15%
- Emerging Market CDS Index 260.79 -1.31%
- iBoxx Offshore RMB China Corporate High Yield Index 131.37 unch.
- 2-Year Swap Spread 26.0 +1.5 basis points
- TED Spread 48.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -49.25 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.29 -.16%
- 3-Month T-Bill Yield .27% unch.
- Yield Curve 87.25 +.25 basis point
- China Import Iron Ore Spot $61.94/Metric Tonne -.44%
- Citi US Economic Surprise Index 16.10 +.3 point
- Citi Eurozone Economic Surprise Index 31.8 +2.6 points
- Citi Emerging Markets Economic Surprise Index -1.0 +1.0 point
- 10-Year TIPS Spread 1.46% +2.0 basis points
- 23.7% chance of Fed rate hike at Nov. 2 meeting, 38.8% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -38 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating +6 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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