Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.7 -3.8%
- Euro/Yen Carry Return Index 134.03 -.40%
- Emerging Markets Currency Volatility(VXY) 10.11 -.69%
- S&P 500 Implied Correlation 29.17 -2.31%
- ISE Sentiment Index 146.0 +21.7%
- Total Put/Call .89 -8.3%
- NYSE Arms .72 -32.65%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.26 +.83%
- America Energy Sector High-Yield CDS Index 363.0 -.81%
- European Financial Sector CDS Index 78.58 +1.49%
- Italian/German 10Y Yld Spread 253.0 +6.75 basis points
- Asia Pacific Sovereign Debt CDS Index 10.80 -1.55%
- Emerging Market CDS Index 169.43 -3.08%
- iBoxx Offshore RMB China Corporate High Yield Index 150.18 +.03%
- 2-Year Swap Spread 22.25 +.25 basis point
- TED Spread 33.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -6.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.51 +.21%
- 3-Month T-Bill Yield 2.0% unch.
- Yield Curve 31.0 -1.25 basis points
- China Iron Ore Spot 69.30 USD/Metric Tonne +2.36%
- Citi US Economic Surprise Index -15.0 -12.6 points
- Citi Eurozone Economic Surprise Index -31.50 -5.9 points
- Citi Emerging Markets Economic Surprise Index -3.10 +8.5 points
- 10-Year TIPS Spread 2.12 -1.0 basis point
- 90.3% chance of Fed rate hike at Nov. 8th meeting, 97.1% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +25 open in Japan
- China A50 Futures: Indicating +62 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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