Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.52 -2.64%
- Euro/Yen Carry Return Index 117.59 -.28%
- Emerging Markets Currency Volatility(VXY) 9.67 -.41%
- S&P 500 Implied Correlation 47.05 -2.65%
- ISE Sentiment Index 117.0 -7.14%
- Total Put/Call .90 -4.26%
- NYSE Arms .98 +26.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.31 -2.18%
- America Energy Sector High-Yield CDS Index 770.0 -2.72%
- European Financial Sector CDS Index 91.95 -4.69%
- Western Europe Sovereign Debt CDS Index 23.94 -.5%
- Asia Pacific Sovereign Debt CDS Index 47.44 -.85%
- Emerging Market CDS Index 256.63 -1.18%
- iBoxx Offshore RMB China Corporate High Yield Index 131.47 +.07%
- 2-Year Swap Spread 26.75 +.75 basis point
- TED Spread 50.25 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -44.75 +4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.54 +.25%
- 3-Month T-Bill Yield .26% -1.0 basis point
- Yield Curve 85.5 -1.75 basis points
- China Import Iron Ore Spot $59.50/Metric Tonne -3.52%
- Citi US Economic Surprise Index 17.80 +1.7 points
- Citi Eurozone Economic Surprise Index 31.7 -.1 point
- Citi Emerging Markets Economic Surprise Index -1.70 -.7 point
- 10-Year TIPS Spread 1.47% +1.0 basis point
- 19.8% chance of Fed rate hike at Nov. 2 meeting, 37.3% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -34 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating -8 open in Germany
Portfolio:
- Lower: On losses in my biotech/retail sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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