Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.87 -1.41%
- Euro/Yen Carry Return Index 135.21 -.21%
- Emerging Markets Currency Volatility(VXY) 7.59 -.39%
- S&P 500 Implied Correlation 32.76 -1.21%
- ISE Sentiment Index 91.0 +21.3%
- Total Put/Call .97 +2.11%
- NYSE Arms 1.09 +28.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.59 -.04%
- America Energy Sector High-Yield CDS Index 447.0 +.11%
- European Financial Sector CDS Index 52.88 -1.42%
- Western Europe Sovereign Debt CDS Index 5.51 +.27%
- Asia Pacific Sovereign Debt CDS Index 21.31 -4.1%
- Emerging Market CDS Index 188.88 -.1%
- iBoxx Offshore RMB China Corporate High Yield Index 141.01 +.05%
- 2-Year Swap Spread 26.0 +.5 basis point
- TED Spread 31.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.50 +2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.79 +.29%
- 3-Month T-Bill Yield 1.0% -2.0 basis points
- Yield Curve 90.0 -2.0 basis points
- China Import Iron Ore Spot $72.97/Metric Tonne -.96%
- Citi US Economic Surprise Index -32.70 -6.9 points
- Citi Eurozone Economic Surprise Index 10.50 +.4 point
- Citi Emerging Markets Economic Surprise Index 16.90 +1.6 basis points
- 10-Year TIPS Spread 1.78 -1.0 basis point
- 17.5% chance of Fed rate hike at Nov. 1 meeting, 43.7% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -4 open in Japan
- China A50 Futures: Indicating +47 open in China
- DAX Futures: Indicating -37 open in Germany
Portfolio:
- Higher: On gains in my biotech/tech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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