Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.48 -2.07%
- Euro/Yen Carry Return Index 120.26 +.08%
- Emerging Markets Currency Volatility(VXY) 10.91 +2.73%
- S&P 500 Implied Correlation 54.75 -2.3%
- ISE Sentiment Index 108.0 +80.0%
- Total Put/Call 1.05 +5.0%
- NYSE Arms 1.44 -51.51%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.66 +.82%
- America Energy Sector High-Yield CDS Index 682.0 +1.89%
- European Financial Sector CDS Index 91.18 -1.61%
- Western Europe Sovereign Debt CDS Index 24.97 -.32%
- Asia Pacific Sovereign Debt CDS Index 38.45 -2.98%
- Emerging Market CDS Index 254.12 +2.34%
- iBoxx Offshore RMB China Corporate High Yield Index 131.62 -.05%
- 2-Year Swap Spread 25.5 +.75 basis point
- TED Spread 50.5 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.22 +.20%
- 3-Month T-Bill Yield .33% -2.0 basis points
- Yield Curve 93.0 unch.
- China Import Iron Ore Spot $55.97/Metric Tonne -.21%
- Citi US Economic Surprise Index -6.0 -.2 point
- Citi Eurozone Economic Surprise Index -20.5 +.3 point
- Citi Emerging Markets Economic Surprise Index -15.4 -.3 point
- 10-Year TIPS Spread 1.50% -1.0 basis point
- 28.6% chance of Fed rate hike at Nov. 2 meeting, 52.3% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -190 open in Japan
- China A50 Futures: Indicating -22 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 25% Net Long
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