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) 11.3 -3.1%
- Euro/Yen Carry Return Index 133.93 +.01%
- Emerging Markets Currency Volatility(VXY) 10.23 +.89%
- S&P 500 Implied Correlation 29.03 -1.16%
- ISE Sentiment Index 96.0 -28.9%
- Total Put/Call .95 +5.56%
- NYSE Arms 1.26 +73.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.78 -.34%
- America Energy Sector High-Yield CDS Index 360.0 -.68%
- European Financial Sector CDS Index 79.26 +.87%
- Italian/German 10Y Yld Spread 251.50 -1.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.75 -.37%
- Emerging Market CDS Index 171.78 +1.5%
- iBoxx Offshore RMB China Corporate High Yield Index 150.41 +.15%
- 2-Year Swap Spread 21.5 -.75 basis point
- TED Spread 33.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -5.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.09 -.54%
- 3-Month T-Bill Yield 2.01% +1.0 basis point
- Yield Curve 28.75 -2.25 basis points
- China Iron Ore Spot 69.77 USD/Metric Tonne +.24%
- Citi US Economic Surprise Index -13.90 +1.1 points
- Citi Eurozone Economic Surprise Index -35.30 -3.8 points
- Citi Emerging Markets Economic Surprise Index -2.50 +.6 point
- 10-Year TIPS Spread 2.12 unch.
- 90.3% chance of Fed rate hike at Nov. 8th meeting, 97.1% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +73 open in Japan
- China A50 Futures: Indicating +43 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/medical/industrial sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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