Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.99 -.25%
- Euro/Yen Carry Return Index 119.51 -.38%
- Emerging Markets Currency Volatility(VXY) 9.53 -.21%
- S&P 500 Implied Correlation 42.01 -.64%
- ISE Sentiment Index 107.0 +2.88%
- Total Put/Call .90 +4.65%
- NYSE Arms 1.33 +75.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.82 +1.0%
- America Energy Sector High-Yield CDS Index 676.0 -1.62%
- European Financial Sector CDS Index 83.30 -1.34%
- Western Europe Sovereign Debt CDS Index 24.51 +.14%
- Asia Pacific Sovereign Debt CDS Index 35.46 -4.70%
- Emerging Market CDS Index 231.55 -1.88%
- iBoxx Offshore RMB China Corporate High Yield Index 131.64 +.01%
- 2-Year Swap Spread 25.25 +.25 basis point
- TED Spread 50.25 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.25 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.38 +.06%
- 3-Month T-Bill Yield .34% +3.0 basis points
- Yield Curve 80.0 -1.0 basis point
- China Import Iron Ore Spot $58.46/Metric Tonne -1.18%
- Citi US Economic Surprise Index -5.7 +1.3 points
- Citi Eurozone Economic Surprise Index -13.9 -5.3 points
- Citi Emerging Markets Economic Surprise Index -7.5 -.3 point
- 10-Year TIPS Spread 1.51% +1.0 basis point
- 27.0% chance of Fed rate hike at Nov. 2 meeting, 51.5% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -82 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating -8 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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