Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.97 +5.46%
- Euro/Yen Carry Return Index 134.40 unch.
- Emerging Markets Currency Volatility(VXY) 7.22 -.82%
- S&P 500 Implied Correlation 35.46 +7.98%
- ISE Sentiment Index 69.0 -39.5%
- Total Put/Call .93 -8.82%
- NYSE Arms .66 -22.82%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.97 -.25%
- America Energy Sector High-Yield CDS Index 470.0 -.50%
- European Financial Sector CDS Index 56.77 +2.45%
- Western Europe Sovereign Debt CDS Index 5.75 -.43%
- Asia Pacific Sovereign Debt CDS Index 20.99 -.40%
- Emerging Market CDS Index 189.36 -.16%
- iBoxx Offshore RMB China Corporate High Yield Index 141.08 +.02%
- 2-Year Swap Spread 24.75 -.75 basis point
- TED Spread 31.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.06 +.22%
- 3-Month T-Bill Yield 1.0% unch.
- Yield Curve 86.0 -3.0 basis points
- China Import Iron Ore Spot $79.65/Metric Tonne n/a
- Citi US Economic Surprise Index -37.20 -9.8 points
- Citi Eurozone Economic Surprise Index 18.50 +11.9 points
- Citi Emerging Markets Economic Surprise Index 17.60 -2.0 basis points
- 10-Year TIPS Spread 1.76 -1.0 basis point
- 15.6% chance of Fed rate hike at Nov. 1 meeting, 39.1% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -60 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment