Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.84 -6.1%
- Euro/Yen Carry Return Index 136.32 +.25%
- Emerging Markets Currency Volatility(VXY) 11.77 -.93%
- S&P 500 Implied Correlation 34.76 -.03%
- ISE Sentiment Index 120.0 +50.0%
- Total Put/Call .81 -.10%
- NYSE Arms .66 +.35%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.28 -.51%
- America Energy Sector High-Yield CDS Index 400.0 +.01%
- European Financial Sector CDS Index 67.91 -.12%
- Italian/German 10Y Yld Spread 231.0 -7.75 basis points
- Asia Pacific Sovereign Debt CDS Index 12.11 +1.10%
- Emerging Market CDS Index 205.49 +.02%
- iBoxx Offshore RMB China Corporate High Yield Index 150.77 -.25%
- 2-Year Swap Spread 16.0 -.75 basis point
- TED Spread 17.50 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.90 +.07%
- 3-Month T-Bill Yield 2.16% +1.0 basis point
- Yield Curve 24.75 +3.0 basis points
- China Iron Ore Spot 68.72 USD/Metric Tonne -.09%
- Citi US Economic Surprise Index -6.7 +9.6 points
- Citi Eurozone Economic Surprise Index -17.90 -8.7 points
- Citi Emerging Markets Economic Surprise Index -9.70 +6.6 points
- 10-Year TIPS Spread 2.13+2.0 basis points
- 98.7% chance of Fed rate hike at Nov. 8th meeting, 99.7% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +305 open in Japan
- China A50 Futures: Indicating +63 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail/industrial/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment