Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.42 +6.34%
- Euro/Yen Carry Return Index 137.83 +.17%
- Emerging Markets Currency Volatility(VXY) 11.60 +.26%
- S&P 500 Implied Correlation 34.73 +3.92%
- ISE Sentiment Index 92.0 +15.0%
- Total Put/Call .93 -5.1%
- NYSE Arms 1.10 +30.44%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.54 +1.59%
- America Energy Sector High-Yield CDS Index 398.0 -1.53%
- European Financial Sector CDS Index 80.53 +2.55%
- Italian/German 10Y Yld Spread 243.75 +7.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.51 +2.09%
- Emerging Market CDS Index 196.0 -1.58%
- iBoxx Offshore RMB China Corporate High Yield Index 150.66 +.03%
- 2-Year Swap Spread 16.75 -.5 basis point
- TED Spread 19.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.66 +.22%
- 3-Month T-Bill Yield 2.17% +1.0 basis point
- Yield Curve 26.75 +.5 basis point
- China Iron Ore Spot 68.90 USD/Metric Tonne -.66%
- Citi US Economic Surprise Index -1.9 +.9 point
- Citi Eurozone Economic Surprise Index -25.20 +3.3 points
- Citi Emerging Markets Economic Surprise Index -9.9 -.1 point
- 10-Year TIPS Spread 2.16+1.0 basis point
- 100.0% chance of Fed rate hike at Nov. 8th meeting, 100.0% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -151 open in Japan
- China A50 Futures: Indicating -95 open in China
- DAX Futures: Indicating -10 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical sector long, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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