Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.13 -4.34%
- Euro/Yen Carry Return Index 136.53 -.04%
- Emerging Markets Currency Volatility(VXY) 7.42 -.54%
- S&P 500 Implied Correlation 31.72 -.75%
- ISE Sentiment Index 72.0 -34.6%
- Total Put/Call .82 -21.90%
- NYSE Arms .55 -42.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.50 -1.96%
- America Energy Sector High-Yield CDS Index 465.0 -.91%
- European Financial Sector CDS Index 52.28 -2.01%
- Western Europe Sovereign Debt CDS Index 5.59 -4.45%
- Asia Pacific Sovereign Debt CDS Index 17.81 -2.06%
- Emerging Market CDS Index 177.26 -1.86%
- iBoxx Offshore RMB China Corporate High Yield Index 141.27 +.12%
- 2-Year Swap Spread 21.0 +.25 basis point
- TED Spread 31.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.66 +.22%
- 3-Month T-Bill Yield 1.0% -1.0 basis point
- Yield Curve 81.0 +2.0 basis points
- China Import Iron Ore Spot $78.91/Metric Tonne n/a
- Citi US Economic Surprise Index -18.20 +4.9 points
- Citi Eurozone Economic Surprise Index 25.80 +2.2 points
- Citi Emerging Markets Economic Surprise Index 19.80 +3.5 basis points
- 10-Year TIPS Spread 1.79 +2.0 basis points
- 15.6% chance of Fed rate hike at Nov. 1 meeting, 42.5% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +28 open in Japan
- China A50 Futures: Indicating +56 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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