Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.3 -.6%
- Euro/Yen Carry Return Index 129.20 -.05%
- Emerging Markets Currency Volatility(VXY) 10.4 +1.3%
- S&P 500 Implied Correlation 54.5 -7.0%
- ISE Sentiment Index 144 .0 +75.0 points
- Total Put/Call .63 -23.2%
- NYSE Arms 1.10 -10.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.41 -2.96%
- US Energy High-Yield OAS 836.0 -1.4%
- European Financial Sector CDS Index 70.53 -3.65%
- Italian/German 10Y Yld Spread 152.0 +1.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.71 -1.91%
- Emerging Market CDS Index 188.84 -1.14%
- iBoxx Offshore RMB China Corporate High Yield Index 176.72 -.11%
- 2-Year Swap Spread 7.5 +.25 basis point
- TED Spread 16.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.75 +1.5 basis points
- MBS 5/10 Treasury Spread 81.0 -6.25 basis points
- IHS Markit CMBX BBB- 6 67.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.87 -.36%
- 3-Month T-Bill Yield .08% -1.0 basis point
- Yield Curve 43.25 +2.25 basis points
- China Iron Ore Spot 111.57 USD/Metric Tonne -.04%
- Citi US Economic Surprise Index 225.4 -21.4 points
- Citi Eurozone Economic Surprise Index 182.80 +16.5 points
- Citi Emerging Markets Economic Surprise Index -7.5 -5.6 points
- 10-Year TIPS Spread 1.59 +4.0 basis points
- 100.0% chance of no change at Nov. 5th meeting, 100.0% chance of no change at Dec. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +185 open in Japan
- China A50 Futures: Indicating +5 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/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