Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.99 +.65%
- Euro/Yen Carry Return Index 122.53 -.10%
- Emerging Markets Currency Volatility(VXY) 8.82 +.46%
- S&P 500 Implied Correlation 44.48 +.23%
- ISE Sentiment Index 83.0 +31.8%
- Total Put/Call .87 -6.45%
- NYSE Arms 1.26 +56.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.52 +.98%
- America Energy Sector High-Yield CDS Index 415.0 -1.35%
- European Financial Sector CDS Index 65.20 +.93%
- Italian/German 10Y Yld Spread 206.25 -2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 66.07 -1.18%
- Emerging Market CDS Index 211.13 +.44%
- iBoxx Offshore RMB China Corporate High Yield Index 164.77 -.07%
- 2-Year Swap Spread .5 -.75 basis point
- TED Spread 25.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -7.25 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.43 +.12%
- 3-Month T-Bill Yield 1.90% unch.
- Yield Curve 4.75 -1.5 basis points
- China Iron Ore Spot 83.81 USD/Metric Tonne -3.03%
- Citi US Economic Surprise Index -10.9 +2.4 points
- Citi Eurozone Economic Surprise Index -60.30 +1.2 points
- Citi Emerging Markets Economic Surprise Index -25.6 -4.4 points
- 10-Year TIPS Spread 1.54 -3.0 basis points
- 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -147 open in Japan
- China A50 Futures: Indicating -50 open in China
- DAX Futures: Indicating -16 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
No comments:
Post a Comment