Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.12 +29.8%
- Euro/Yen Carry Return Index 135.11 -.76%
- Emerging Markets Currency Volatility(VXY) 7.75 +.91%
- S&P 500 Implied Correlation 36.43 +45.7%
- ISE Sentiment Index 72.0 -11.11%
- Total Put/Call 1.15 +36.9%
- NYSE Arms .69 +1.65%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.50 +2.34%
- America Energy Sector High-Yield CDS Index 455.0 -2.32%
- European Financial Sector CDS Index 51.53 -2.11%
- Western Europe Sovereign Debt CDS Index 5.24 -5.84%
- Asia Pacific Sovereign Debt CDS Index 19.08 +3.64%
- Emerging Market CDS Index 178.39 +.60%
- iBoxx Offshore RMB China Corporate High Yield Index 141.47 +.05%
- 2-Year Swap Spread 22.25 +1.25 basis points
- TED Spread 32.5 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -24.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.70 +.16%
- 3-Month T-Bill Yield 1.0% unch.
- Yield Curve 78.0 -3.0 basis points
- China Import Iron Ore Spot $78.39/Metric Tonne +.68%
- Citi US Economic Surprise Index -19.30 -1.1 points
- Citi Eurozone Economic Surprise Index 23.60 -2.2 points
- Citi Emerging Markets Economic Surprise Index 23.10 +4.3 basis points
- 10-Year TIPS Spread 1.78 -1.0 basis point
- 13.8% chance of Fed rate hike at Nov. 1 meeting, 36.2% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -85 open in Japan
- China A50 Futures: Indicating -14 open in China
- DAX Futures: Indicating -49 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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