Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.94 -6.7%
- Euro/Yen Carry Return Index 136.30 -.06%
- Emerging Markets Currency Volatility(VXY) 11.65 -1.44%
- S&P 500 Implied Correlation 33.61 -3.72%
- ISE Sentiment Index 114.0 -4.2%
- Total Put/Call .94 +13,25%
- NYSE Arms .51 -25.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.06 -.25%
- America Energy Sector High-Yield CDS Index 396.0 -.84%
- European Financial Sector CDS Index 67.86 -.08%
- Italian/German 10Y Yld Spread 236.50 +5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 11.98 -1.24%
- Emerging Market CDS Index 199.27 -3.5%
- iBoxx Offshore RMB China Corporate High Yield Index 150.85 +.05%
- 2-Year Swap Spread 16.75 +.75 basis point
- TED Spread 16.50 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.20 +.57%
- 3-Month T-Bill Yield 2.16% unch.
- Yield Curve 27.5 +2.75 basis points
- China Iron Ore Spot 69.06 USD/Metric Tonne +.03%
- Citi US Economic Surprise Index -7.5 -.8 point
- Citi Eurozone Economic Surprise Index -20.60 -2.7 points
- Citi Emerging Markets Economic Surprise Index -9.2 +.5 point
- 10-Year TIPS Spread 2.15+2.0 basis points
- 100.0% chance of Fed rate hike at Nov. 8th meeting, 100.0% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -37 open in Japan
- China A50 Futures: Indicating +77 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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