Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.82 +7.0%
- Euro/Yen Carry Return Index 135.84 +.21%
- Emerging Markets Currency Volatility(VXY) 7.52 +.4%
- S&P 500 Implied Correlation 29.29 +4.5%
- ISE Sentiment Index 99.0 +16.47%
- Total Put/Call .78 -16.1%
- NYSE Arms 1.64 +96.06%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.5 +1.17%
- America Energy Sector High-Yield CDS Index 430.0 -.99%
- European Financial Sector CDS Index 50.49 +1.25%
- Western Europe Sovereign Debt CDS Index 4.52 +5.37%
- Asia Pacific Sovereign Debt CDS Index 20.0 +.48%
- Emerging Market CDS Index 191.39 -.18%
- iBoxx Offshore RMB China Corporate High Yield Index 140.49 +.01%
- 2-Year Swap Spread 24.5 unch.
- TED Spread 23.5 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.50 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.91 +.04%
- 3-Month T-Bill Yield 1.08% -2.0 basis points
- Yield Curve 94.0 -1.0 basis point
- China Import Iron Ore Spot $68.73/Metric Tonne -2.09%
- Citi US Economic Surprise Index -44.50 -.7 points
- Citi Eurozone Economic Surprise Index 16.10 unch.
- Citi Emerging Markets Economic Surprise Index 15.70 +1.2 basis points
- 10-Year TIPS Spread 1.82 unch.
- 19.5% chance of Fed rate hike at Nov. 1 meeting, 48.4% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +76 open in Japan
- China A50 Futures: Indicating +46 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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