Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.44 +9.61%
- Euro/Yen Carry Return Index 118.59 +.07%
- Emerging Markets Currency Volatility(VXY) 10.09 +1.51%
- S&P 500 Implied Correlation 44.40 +4.39%
- ISE Sentiment Index 100.0 +1.01%
- Total Put/Call .95 +14.46%
- NYSE Arms 1.79 +90.34%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.59 +1.35%
- America Energy Sector High-Yield CDS Index 683.0 +.07%
- European Financial Sector CDS Index 93.21 +.38%
- Western Europe Sovereign Debt CDS Index 25.14 +1.60%
- Asia Pacific Sovereign Debt CDS Index 42.54 -1.32%
- Emerging Market CDS Index 241.87 +.30%
- iBoxx Offshore RMB China Corporate High Yield Index 131.65 +.19%
- 2-Year Swap Spread 25.5 -2.25 basis points
- TED Spread 52.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -36.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.36 -.43%
- 3-Month T-Bill Yield .29% -1.0 basis point
- Yield Curve 81.0 -2.0 basis points
- China Import Iron Ore Spot $61.23/Metric Tonne +.46%
- Citi US Economic Surprise Index 1.9 -2.7 points
- Citi Eurozone Economic Surprise Index 27.4 -.2 point
- Citi Emerging Markets Economic Surprise Index -1.2 +.6 point
- 10-Year TIPS Spread 1.48% -2.0 basis points
- 30.8% chance of Fed rate hike at Nov. 2 meeting, 51.2% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -58 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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