Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.2 +.3%
- Bloomberg Global Risk On/Risk Off Index 3,178.0 +46.0 points
- Euro/Yen Carry Return Index 135.11 +.03%
- Emerging Markets Currency Volatility(VXY) 8.82 -.23%
- S&P 500 Implied Correlation 46.6 -2.2%
- ISE Sentiment Index 108.0 -12.0 points
- Total Put/Call .81 -6.9%
- NYSE Arms 1.24 +226.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 47.97 -.31%
- US Energy High-Yield OAS 380.44 +.02%
- European Financial Sector CDS Index 54.01 -.30%
- Italian/German 10Y Yld Spread 103.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 89.05 +.23%
- Emerging Market CDS Index 159.59 +.23%
- China Corp. High-Yield Bond USD ETF(KCCB) 38.95 +.21%
- 2-Year Swap Spread 7.5 -.75 basis point
- TED Spread 8.5 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.75 +1.0 basis point
- MBS 5/10 Treasury Spread 70.25 +.25 basis point
- IHS Markit CMBX BBB- 6 73.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.99 +.11%
- 3-Month T-Bill Yield .05% unch.
- Yield Curve 114.0 +2.0 basis points
- China Iron Ore Spot 208.25 USD/Metric Tonne +1.1%
- Citi US Economic Surprise Index -3.2 -2.9 points
- Citi Eurozone Economic Surprise Index 83.50 -3.6 points
- Citi Emerging Markets Economic Surprise Index 58.4 -12.5 points
- 10-Year TIPS Spread 2.33 +4.0 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 +91 open in Japan
- China A50 Futures: Indicating -61 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Higher: On gains in my commodity/industrial/tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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