Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.41 -20.0%
- Euro/Yen Carry Return Index 134.73 +.06%
- Emerging Markets Currency Volatility(VXY) 7.83 -2.37%
- S&P 500 Implied Correlation 34.39 -17.0%
- ISE Sentiment Index n/a
- Total Put/Call .82 -14.58%
- NYSE Arms 1.14 -14.04%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.99 -2.77%
- America Energy Sector High-Yield CDS Index 446.0 -.56%
- European Financial Sector CDS Index 53.79 -2.72%
- Western Europe Sovereign Debt CDS Index 5.42 -3.39%
- Asia Pacific Sovereign Debt CDS Index 22.89 +5.17%
- Emerging Market CDS Index 189.64 -.92%
- iBoxx Offshore RMB China Corporate High Yield Index 141.0 +.10%
- 2-Year Swap Spread 25.50 -.5 basis point
- TED Spread 29.5 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.75 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.67 +.06%
- 3-Month T-Bill Yield 1.02% -1.0 basis point
- Yield Curve 90.0 unch.
- China Import Iron Ore Spot $74.71/Metric Tonne -.64%
- Citi US Economic Surprise Index -35.40 +1.2 points
- Citi Eurozone Economic Surprise Index 12.20 -.4 point
- Citi Emerging Markets Economic Surprise Index 14.40 -4.9 basis points
- 10-Year TIPS Spread 1.78 -2.0 basis points
- 15.6% chance of Fed rate hike at Nov. 1 meeting, 44.2% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +42 open in Japan
- China A50 Futures: Indicating -3 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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