Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.91 +7.0%
- Euro/Yen Carry Return Index 136.15 +.51%
- Emerging Markets Currency Volatility(VXY) 11.94 +.42%
- S&P 500 Implied Correlation 34.87 +.96%
- ISE Sentiment Index 83.0 -28.45%
- Total Put/Call .89 +8.54%
- NYSE Arms .66 -27.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.14 +.71%
- America Energy Sector High-Yield CDS Index 400.0 -.35%
- European Financial Sector CDS Index 67.99 -.79%
- Italian/German 10Y Yld Spread 238.75 -14.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.24 +1.16%
- Emerging Market CDS Index 204.54 -.82%
- iBoxx Offshore RMB China Corporate High Yield Index 151.14 -.03%
- 2-Year Swap Spread 16.75 -1.0 basis point
- TED Spread 19.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.90 -.14%
- 3-Month T-Bill Yield 2.15% unch.
- Yield Curve 21.75 +.75 basis point
- China Iron Ore Spot 68.72 USD/Metric Tonne -.09%
- Citi US Economic Surprise Index -16.3 -8.0 points
- Citi Eurozone Economic Surprise Index -9.40 +4.2 points
- Citi Emerging Markets Economic Surprise Index -16.30 -8.0 points
- 10-Year TIPS Spread 2.11 unch.
- 99.8% chance of Fed rate hike at Nov. 8th meeting, 100.0% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +101 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating -89 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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