Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.4 +4.0%
- Euro/Yen Carry Return Index 134.30 +.01%
- Emerging Markets Currency Volatility(VXY) 12.90 +2.3%
- S&P 500 Implied Correlation 20.59 +1.30%
- ISE Sentiment Index 110.0 +22.2%
- Total Put/Call .79 -23.3%
- NYSE Arms 1.23 +4.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.51 +.78%
- America Energy Sector High-Yield CDS Index 413.0 -.62%
- European Financial Sector CDS Index 81.12 -3.44%
- Italian/German 10Y Yld Spread 266.0 -5.0 basis points
- Asia Pacific Sovereign Debt CDS Index 11.68 +7.55%
- Emerging Market CDS Index 244.35 +3.62%
- iBoxx Offshore RMB China Corporate High Yield Index 150.96 +.04%
- 2-Year Swap Spread 19.25 +.75 basis point
- TED Spread 20.75 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.94 -.70%
- 3-Month T-Bill Yield 2.11% -2.0 basis points
- Yield Curve 24.5 2.75 basis points
- China Iron Ore Spot 66.30 USD/Metric Tonne -.3%
- Citi US Economic Surprise Index -5.90 +11.8 points
- Citi Eurozone Economic Surprise Index 5.30 +3.9 points
- Citi Emerging Markets Economic Surprise Index -8.0 unch.
- 10-Year TIPS Spread 2.10 unch.
- 96.4% chance of Fed rate hike at Nov. 8th meeting, 98.8% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +10 open in Japan
- China A50 Futures: Indicating -65 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Higher: On gains in my retail sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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