Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.6 -2.9%
- Euro/Yen Carry Return Index 134.17 -.18%
- Emerging Markets Currency Volatility(VXY) 10.41 +.29%
- S&P 500 Implied Correlation 28.33 -.67%
- ISE Sentiment Index 76.0 -34.48%
- Total Put/Call 1.01 +9.78%
- NYSE Arms 1.14 +11.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.03 -.44%
- America Energy Sector High-Yield CDS Index 359.0 +.70%
- European Financial Sector CDS Index 78.51 +2.31%
- Italian/German 10Y Yld Spread 251.50 +5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.17 +.74%
- Emerging Market CDS Index 175.08 +1.34%
- iBoxx Offshore RMB China Corporate High Yield Index 150.30 -.01%
- 2-Year Swap Spread 19.5 -1.25 basis points
- TED Spread 29.0 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.04 -.38%
- 3-Month T-Bill Yield 2.05% +1.0 basis point
- Yield Curve 29.75 -.5 basis point
- China Iron Ore Spot 69.44 USD/Metric Tonne -.16%
- Citi US Economic Surprise Index -13.10 -.1 point
- Citi Eurozone Economic Surprise Index -35.10 +.6 point
- Citi Emerging Markets Economic Surprise Index -1.80 +1.0 point
- 10-Year TIPS Spread 2.13 unch.
- 94.8% chance of Fed rate hike at Nov. 8th meeting, 98.5% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -19 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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