Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.3 +7.0%
- Euro/Yen Carry Return Index 120.72 -.16%
- Emerging Markets Currency Volatility(VXY) 8.85 unch.
- S&P 500 Implied Correlation 47.11 +4.8%
- ISE Sentiment Index 72.0 +18.0%
- Total Put/Call 1.14 -6.6%
- NYSE Arms 1.30 +54.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.34 +2.22%
- America Energy Sector High-Yield CDS Index 425.0 +1.89%
- European Financial Sector CDS Index 64.19 +2.83%
- Italian/German 10Y Yld Spread 158.25 -8.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.28 -.2%
- Emerging Market CDS Index 214.27 -1.68%
- iBoxx Offshore RMB China Corporate High Yield Index 165.11 +.08%
- 2-Year Swap Spread -.75 -.5 basis point
- TED Spread 15.0 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.25 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.94 +.18%
- 3-Month T-Bill Yield 1.95% -3.0 basis points
- Yield Curve .01 +2.0 basis points
- China Iron Ore Spot 86.20 USD/Metric Tonne +.55%
- Citi US Economic Surprise Index -9.4 -5.2 points
- Citi Eurozone Economic Surprise Index -36.40 +1.2 points
- Citi Emerging Markets Economic Surprise Index -15.1 -1.5 points
- 10-Year TIPS Spread 1.51 -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 -75 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/biotech/retail/industrial/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
No comments:
Post a Comment