Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.37 +.98%
- Euro/Yen Carry Return Index 134.70 +.32%
- Emerging Markets Currency Volatility(VXY) 7.16 -.83%
- S&P 500 Implied Correlation 36.91 +21.1%
- ISE Sentiment Index 83.0 +10.7%
- Total Put/Call 1.10 +19.6%
- NYSE Arms .78 -3.47%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.62 -.70%
- America Energy Sector High-Yield CDS Index 480.0 +.57%
- European Financial Sector CDS Index 55.98 -1.39%
- Western Europe Sovereign Debt CDS Index 5.80 +.70%
- Asia Pacific Sovereign Debt CDS Index 20.99 -.40%
- Emerging Market CDS Index 187.47 -1.04%
- iBoxx Offshore RMB China Corporate High Yield Index 141.05 -.02%
- 2-Year Swap Spread 24.0 -.75 basis point
- TED Spread 31.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.08 +.07%
- 3-Month T-Bill Yield 1.01% +1.0 basis point
- Yield Curve 85.0 -1.0 basis point
- China Import Iron Ore Spot $77.16/Metric Tonne -.85%
- Citi US Economic Surprise Index -36.20 +1.0 point
- Citi Eurozone Economic Surprise Index 19.0 +11.9 points
- Citi Emerging Markets Economic Surprise Index 17.0 -.6 basis point
- 10-Year TIPS Spread 1.76 unch.
- 17.6% chance of Fed rate hike at Nov. 1 meeting, 42.2% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +33 open in Japan
- China A50 Futures: Indicating +15 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/retail/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment