Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.4 +1.3%
- Euro/Yen Carry Return Index 134.57 -.11%
- Emerging Markets Currency Volatility(VXY) 12.42 -2.59%
- S&P 500 Implied Correlation 26.36 -4.5%
- ISE Sentiment Index 143.0 +15.3%
- Total Put/Call .79 -9.2%
- NYSE Arms .67 -23.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.49 -.68%
- America Energy Sector High-Yield CDS Index 408.0 -1.12%
- European Financial Sector CDS Index 70.02 +.60%
- Italian/German 10Y Yld Spread 254.0 +2.75 basis points
- Asia Pacific Sovereign Debt CDS Index 12.62 -1.10%
- Emerging Market CDS Index 221.29 -3.44%
- iBoxx Offshore RMB China Corporate High Yield Index 151.56 +.03%
- 2-Year Swap Spread 18.0 -.25 basis point
- TED Spread 19.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 12.42 -2.59%
- 3-Month T-Bill Yield 2.14% -1.0 basis point
- Yield Curve 21.0 -2.25 basis points
- China Iron Ore Spot 68.0 USD/Metric Tonne +.97%
- Citi US Economic Surprise Index -4.2 +.4 point
- Citi Eurozone Economic Surprise Index -12.5 -5.8 points
- Citi Emerging Markets Economic Surprise Index -5.10 -1.2 points
- 10-Year TIPS Spread 2.12 unch.
- 97.5% chance of Fed rate hike at Nov. 8th meeting, 99.4% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -110 open in Japan
- China A50 Futures: Indicating +172 open in China
- DAX Futures: Indicating -28 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/retail sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
No comments:
Post a Comment