Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.74 +.51%
- Euro/Yen Carry Return Index 117.96 -.53%
- Emerging Markets Currency Volatility(VXY) 10.10 -.1%
- S&P 500 Implied Correlation 45.31 +2.1%
- ISE Sentiment Index 153.0 +106.76%
- Total Put/Call .71 -24.47%
- NYSE Arms 1.13 +110.56%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.83 +.81%
- America Energy Sector High-Yield CDS Index 718.0 +1.47%
- European Financial Sector CDS Index 88.51 +2.17%
- Western Europe Sovereign Debt CDS Index 23.26 +1.20%
- Asia Pacific Sovereign Debt CDS Index 43.86 -.25%
- Emerging Market CDS Index 245.64 +1.33%
- iBoxx Offshore RMB China Corporate High Yield Index 131.75 +.07%
- 2-Year Swap Spread 25.0 unch.
- TED Spread 53.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.37 -.39%
- 3-Month T-Bill Yield .27% -1.0 basis point
- Yield Curve 81.0 -1.0 basis point
- China Import Iron Ore Spot $60.37/Metric Tonne +1.70%
- Citi US Economic Surprise Index 10.90 -5.9 points
- Citi Eurozone Economic Surprise Index 28.6 +.8 point
- Citi Emerging Markets Economic Surprise Index 3.0 -3.4 points
- 10-Year TIPS Spread 1.46% -2.0 basis points
- 19.8% chance of Fed rate hike at Nov. 2 meeting, 42.1% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -101 open in Japan
- China A50 Futures: Indicating +33 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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