Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.8 +2.1%
- Euro/Yen Carry Return Index 133.94 -.6%
- Emerging Markets Currency Volatility(VXY) 12.48 -.64%
- S&P 500 Implied Correlation 31.46 -2.75%
- ISE Sentiment Index 81.0 -14.74%
- Total Put/Call 1.07 +30.5%
- NYSE Arms 1.24 -25.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.43 +.83%
- America Energy Sector High-Yield CDS Index 413.0 +1.77%
- European Financial Sector CDS Index 85.09 +1.97%
- Italian/German 10Y Yld Spread 291.0 +4.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.67 +1.72%
- Emerging Market CDS Index 236.01 +2.13%
- iBoxx Offshore RMB China Corporate High Yield Index 151.35 +.05%
- 2-Year Swap Spread 18.5 +1.0 basis point
- TED Spread 22.25 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.74 +.20%
- 3-Month T-Bill Yield 2.09% -1.0 basis point
- Yield Curve 21.75 +1.0 basis point
- China Iron Ore Spot 65.90 USD/Metric Tonne unch.
- Citi US Economic Surprise Index -17.70 +.7 point
- Citi Eurozone Economic Surprise Index 1.40 -1.5 points
- Citi Emerging Markets Economic Surprise Index -6.40 +4.4 points
- 10-Year TIPS Spread 2.09 -2.0 basis points
- 94.6% chance of Fed rate hike at Nov. 8th meeting, 98.4% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -95 open in Japan
- China A50 Futures: Indicating -44 open in China
- DAX Futures: Indicating -39 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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