Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.27 -1.84%
- Euro/Yen Carry Return Index 135.89 +.46%
- Emerging Markets Currency Volatility(VXY) 12.34 +1.48%
- S&P 500 Implied Correlation 29.40 -2.3%
- ISE Sentiment Index 82.0 -26.8%
- Total Put/Call .80 unch.
- NYSE Arms 1.01 -26.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.66 +.08%
- America Energy Sector High-Yield CDS Index 399.0 +.83%
- European Financial Sector CDS Index 80.58 +.06%
- Italian/German 10Y Yld Spread 272.0 -8.75 basis points
- Asia Pacific Sovereign Debt CDS Index 10.31 +.24%
- Emerging Market CDS Index 216.90 +3.86%
- iBoxx Offshore RMB China Corporate High Yield Index 151.25 +.02%
- 2-Year Swap Spread 17.5 unch.
- TED Spread 19.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.75 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.62 -.54%
- 3-Month T-Bill Yield 2.12% +1.0 basis point
- Yield Curve 20.75 -.75 basis point
- China Iron Ore Spot 65.43 USD/Metric Tonne -.5%
- Citi US Economic Surprise Index -17.90 +3.2 points
- Citi Eurozone Economic Surprise Index 3.70 +.1 point
- Citi Emerging Markets Economic Surprise Index -10.30 unch.
- 10-Year TIPS Spread 2.12 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 +112 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Higher: On gains in my tech/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment