Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.44 -1.58%
- Euro/Yen Carry Return Index 118.21 +.04%
- Emerging Markets Currency Volatility(VXY) 9.93 +1.02%
- S&P 500 Implied Correlation 46.31 -.54%
- ISE Sentiment Index 53.0 -23.2%
- Total Put/Call .91 -11.65%
- NYSE Arms 1.22 +32.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.54 +.51%
- America Energy Sector High-Yield CDS Index 694.0 -1.33%
- European Financial Sector CDS Index 89.85 +5.0%
- Western Europe Sovereign Debt CDS Index 24.27 +1.57%
- Asia Pacific Sovereign Debt CDS Index 44.64 +.79%
- Emerging Market CDS Index 240.13 -.02%
- iBoxx Offshore RMB China Corporate High Yield Index 131.42 -.29%
- 2-Year Swap Spread 25.25 +1.75 basis points
- TED Spread 53.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -39.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.63 -.35%
- 3-Month T-Bill Yield .22% +2.0 basis points
- Yield Curve 82.0 -1.0 basis point
- China Import Iron Ore Spot $60.87/Metric Tonne -1.87%
- Citi US Economic Surprise Index 5.4 -.6 point
- Citi Eurozone Economic Surprise Index 27.5 -.1 point
- Citi Emerging Markets Economic Surprise Index -1.1 -.5 point
- 10-Year TIPS Spread 1.48% +3.0 basis points
- 23.7% chance of Fed rate hike at Nov. 2 meeting, 48.0% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -100 open in Japan
- China A50 Futures: Indicating -41 open in China
- DAX Futures: Indicating +62 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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