Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.18 -.74%
- Euro/Yen Carry Return Index 119.33 -.46%
- Emerging Markets Currency Volatility(VXY) 10.98 +1.29%
- S&P 500 Implied Correlation 54.61 +3.9%
- ISE Sentiment Index 81.0 -30.8%
- Total Put/Call 1.03 +21.18%
- NYSE Arms 1.47 +119.54%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.17 +2.13%
- America Energy Sector High-Yield CDS Index 664.0 -3.08%
- European Financial Sector CDS Index 96.0 +4.17%
- Western Europe Sovereign Debt CDS Index 25.51 +.79%
- Asia Pacific Sovereign Debt CDS Index 38.55 +.57%
- Emerging Market CDS Index 260.57 +1.64%
- iBoxx Offshore RMB China Corporate High Yield Index 131.66 +.02%
- 2-Year Swap Spread 25.5 unch.
- TED Spread 56.50 +3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -33.50 -4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.13 -.3%
- 3-Month T-Bill Yield .28% unch.
- Yield Curve 92.50 +4.5 basis points
- China Import Iron Ore Spot $55.97/Metric Tonne unch.
- Citi US Economic Surprise Index -3.0 +6.5 points
- Citi Eurozone Economic Surprise Index -21.70 -.7 point
- Citi Emerging Markets Economic Surprise Index -14.7 -.4 point
- 10-Year TIPS Spread 1.52% +1.0 basis point
- 28.7% chance of Fed rate hike at Nov. 2 meeting, 55.4% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -200 open in Japan
- China A50 Futures: Indicating +42 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment