Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.82 -5.94%
- Euro/Yen Carry Return Index 135.85 -.29%
- Emerging Markets Currency Volatility(VXY) 7.48 -1.06%
- S&P 500 Implied Correlation 29.51 -2.51%
- ISE Sentiment Index n/a
- Total Put/Call .93 -7.0%
- NYSE Arms .73 -36.36%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.56 +.68%
- America Energy Sector High-Yield CDS Index 470.0 +8.51%
- European Financial Sector CDS Index 50.34 +.25%
- Western Europe Sovereign Debt CDS Index 5.50 +.73%
- Asia Pacific Sovereign Debt CDS Index 18.77 +.29%
- Emerging Market CDS Index 186.42 +.24%
- iBoxx Offshore RMB China Corporate High Yield Index 140.53 -.07%
- 2-Year Swap Spread 25.0 +.5 basis point
- TED Spread 24.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.77 -.25%
- 3-Month T-Bill Yield 1.07% unch.
- Yield Curve 91.0 +1.0 basis point
- China Import Iron Ore Spot $74.12/Metric Tonne +1.63%
- Citi US Economic Surprise Index -40.80 +3.3 points
- Citi Eurozone Economic Surprise Index 18.30 +1.2 basis points
- Citi Emerging Markets Economic Surprise Index 17.20 -1.7 basis points
- 10-Year TIPS Spread 1.80 +2.0 basis points
- 19.5% chance of Fed rate hike at Nov. 1 meeting, 48.4% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +97 open in Japan
- China A50 Futures: Indicating +41 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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