Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.21 +1.92%
- Euro/Yen Carry Return Index 119.99 -.39%
- Emerging Markets Currency Volatility(VXY) 9.53 -2.06%
- S&P 500 Implied Correlation 44.01 -.97%
- ISE Sentiment Index 113.0 +39.51%
- Total Put/Call .85 -10.53%
- NYSE Arms .70 -5.93%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.60 -.79%
- America Energy Sector High-Yield CDS Index 681.0 -.68%
- European Financial Sector CDS Index 84.44 -1.04%
- Western Europe Sovereign Debt CDS Index 24.48 -.47%
- Asia Pacific Sovereign Debt CDS Index 37.20 -.92%
- Emerging Market CDS Index 236.50 -2.38%
- iBoxx Offshore RMB China Corporate High Yield Index 131.63 +.02%
- 2-Year Swap Spread 25.0 +.25 basis point
- TED Spread 51.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -34.5 +4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.34 +1.11%
- 3-Month T-Bill Yield .31% -1.0 basis point
- Yield Curve 81.0 +2.0 basis points
- China Import Iron Ore Spot $59.16/Metric Tonne -.14%
- Citi US Economic Surprise Index -7.0 -7.0 points
- Citi Eurozone Economic Surprise Index -8.6 -1.3 points
- Citi Emerging Markets Economic Surprise Index -7.2 -2.3 points
- 10-Year TIPS Spread 1.50% +4.0 basis points
- 27.3% chance of Fed rate hike at Nov. 2 meeting, 51.8% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -197 open in Japan
- China A50 Futures: Indicating +32 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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