Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.5 -2.0%
- Euro/Yen Carry Return Index 137.78 +1.04%
- Emerging Markets Currency Volatility(VXY) 11.64 -.43%
- S&P 500 Implied Correlation 33.44 -1.44%
- ISE Sentiment Index 238.0 +105.17%
- Total Put/Call .86 -7.5%
- NYSE Arms .56 +5.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.99 +8.6% (new series)
- America Energy Sector High-Yield CDS Index 393.0 -.86%
- European Financial Sector CDS Index 78.74 +16.0%
- Italian/German 10Y Yld Spread 241.0 +3.5 basis points
- Asia Pacific Sovereign Debt CDS Index 11.15 -6.77%
- Emerging Market CDS Index 199.27 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 150.35 -.33%
- 2-Year Swap Spread 18.75 +2.0 basis points
- TED Spread 17.25 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.0 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.63 +.66%
- 3-Month T-Bill Yield 2.16% unch.
- Yield Curve 26.75 -.75 basis point
- China Iron Ore Spot 68.61 USD/Metric Tonne -.31%
- Citi US Economic Surprise Index -5.1 +1.4 points
- Citi Eurozone Economic Surprise Index -20.70 -.1 point
- Citi Emerging Markets Economic Surprise Index -9.5 -.3 point
- 10-Year TIPS Spread 2.15 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 +65 open in Japan
- China A50 Futures: Indicating +100 open in China
- DAX Futures: Indicating +31 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/retail/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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