Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.53 +.59%
- Euro/Yen Carry Return Index 118.45 +.23%
- Emerging Markets Currency Volatility(VXY) 10.14 -.98%
- S&P 500 Implied Correlation 46.12 -.15%
- ISE Sentiment Index 80.0 +37.93%
- Total Put/Call 1.09 +14.74%
- NYSE Arms .84 -42.95%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.39 -.42%
- America Energy Sector High-Yield CDS Index 692 +1.48%
- European Financial Sector CDS Index 91.0 +1.41%
- Western Europe Sovereign Debt CDS Index 24.63 -2.03%
- Asia Pacific Sovereign Debt CDS Index 40.55 -1.55%
- Emerging Market CDS Index 244.12 +.28%
- iBoxx Offshore RMB China Corporate High Yield Index 131.64 -.05%
- 2-Year Swap Spread 22.50 unch.
- TED Spread 51.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -38.75 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.09 +.28%
- 3-Month T-Bill Yield .31% +1.0 basis point
- Yield Curve 79.0 -1.0 basis point
- China Import Iron Ore Spot $61.44/Metric Tonne -.42%
- Citi US Economic Surprise Index 12.2 +2.0 points
- Citi Eurozone Economic Surprise Index 21.2 -7.9 points
- Citi Emerging Markets Economic Surprise Index -2.6 -.9 point
- 10-Year TIPS Spread 1.50% +1.0 basis point
- 36.0% chance of Fed rate hike at Nov. 2 meeting, 54.8% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -55 open in Japan
- China A50 Futures: Indicating -2 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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