Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.9 +4.2%
- Bloomberg Global Risk On/Risk Off Index 3,142.0 -61.0 points
- Euro/Yen Carry Return Index 135.55 -1.2%
- Emerging Markets Currency Volatility(VXY) 9.0 +3.8%
- S&P 500 Implied Correlation 36.8 +3.5%
- ISE Sentiment Index 114.0 -33.0 points
- Total Put/Call .81 -15.6%
- NYSE Arms 1.48 +37.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.53 +.53%
- US Energy High-Yield OAS 394.60 +1.8%
- European Financial Sector CDS Index 55.10 +.7%
- Italian/German 10Y Yld Spread 101.0 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 84.43 +.93%
- Emerging Market CDS Index 155.63 +.51%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.1 -.14%
- 2-Year Swap Spread 7.25 -.25 basis point
- TED Spread 9.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.25 +.25 basis point
- MBS 5/10 Treasury Spread 71.25 -.25 basis point
- IHS Markit CMBX BBB- 6 74.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.68 -.66%
- 3-Month T-Bill Yield .03% -1.0 basis point
- Yield Curve 137.0 +4.0 basis points
- China Iron Ore Spot 207.25 USD/Metric Tonne +.5%
- Citi US Economic Surprise Index 44.5 -.4 point
- Citi Eurozone Economic Surprise Index 120.40 +1.0 point
- Citi Emerging Markets Economic Surprise Index 79.0 -.2 point
- 10-Year TIPS Spread 2.24 -10.0 basis points
- 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +97 open in Japan
- China A50 Futures: Indicating -54 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Lower: On losses in my commodity/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment