Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.58 +3.11%
- Euro/Yen Carry Return Index 138.23 +.29%
- Emerging Markets Currency Volatility(VXY) 11.64 +.09%
- S&P 500 Implied Correlation 35.16 +4.0%
- ISE Sentiment Index 116.0 +24.7%
- Total Put/Call .87 -10.3%
- NYSE Arms .87 -33.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.70 -.19%
- America Energy Sector High-Yield CDS Index 396.0 -.63%
- European Financial Sector CDS Index 80.72 +.22%
- Italian/German 10Y Yld Spread 233.5 -10.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.67 +1.63%
- Emerging Market CDS Index 199.06 +1.06%
- iBoxx Offshore RMB China Corporate High Yield Index 150.69 +.02%
- 2-Year Swap Spread 17.0 +.25 basis point
- TED Spread 16.75 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.61 -.02%
- 3-Month T-Bill Yield 2.20% +3.0 basis points
- Yield Curve 25.75 -1.0 basis point
- China Iron Ore Spot 68.25 USD/Metric Tonne +.38%
- Citi US Economic Surprise Index -.2 +1.7 points
- Citi Eurozone Economic Surprise Index -25.30 -.1 point
- Citi Emerging Markets Economic Surprise Index -9.1 +.8 point
- 10-Year TIPS Spread 2.16 unch.
- 100.0% chance of Fed rate hike at Nov. 8th meeting, 100.0% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -80 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating -19 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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