Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.30 -12.46%
- Euro/Yen Carry Return Index 119.56 -.76%
- Emerging Markets Currency Volatility(VXY) 10.44 +3.67%
- S&P 500 Implied Correlation 49.36-12.83%
- ISE Sentiment Index 75.0 +5.63%
- Total Put/Call 1.01 -13.56%
- NYSE Arms .34 -79.09%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.14 -3.56%
- America Energy Sector High-Yield CDS Index 671.0 +1.14%
- European Financial Sector CDS Index 90.43 +1.93%
- Western Europe Sovereign Debt CDS Index 24.96 +1.30%
- Asia Pacific Sovereign Debt CDS Index 38.07 -.56%
- Emerging Market CDS Index 249.56 +4.72%
- iBoxx Offshore RMB China Corporate High Yield Index 131.72 +.06%
- 2-Year Swap Spread 25.25 -1.0 basis point
- TED Spread 51.75 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.50 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.57 -.09%
- 3-Month T-Bill Yield .36% +2.0 basis points
- Yield Curve 89.0 unch.
- China Import Iron Ore Spot $57.78/Metric Tonne n/a
- Citi US Economic Surprise Index -4.9 unch.
- Citi Eurozone Economic Surprise Index -19.9 -1.2 points
- Citi Emerging Markets Economic Surprise Index -16.8 -5.2 points
- 10-Year TIPS Spread 1.51% unch.
- 26.9% chance of Fed rate hike at Nov. 2 meeting, 57.2% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +4 open in Japan
- China A50 Futures: Indicating +7 open in China
- DAX Futures: Indicating +87 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added some back
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment