Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.72 +1.47%
- Euro/Yen Carry Return Index 118.28 +.14%
- Emerging Markets Currency Volatility(VXY) 10.01 -.69%
- S&P 500 Implied Correlation 43.93 -1.17%
- ISE Sentiment Index 102.0 -25.0%
- Total Put/Call .76 +1.33%
- NYSE Arms .57 -48.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.53 -1.58%
- America Energy Sector High-Yield CDS Index 721.0 +.46%
- European Financial Sector CDS Index 87.0 -1.71%
- Western Europe Sovereign Debt CDS Index 22.81 -1.91%
- Asia Pacific Sovereign Debt CDS Index 43.64 -.56%
- Emerging Market CDS Index 239.82 -2.36%
- iBoxx Offshore RMB China Corporate High Yield Index 131.77 +.01%
- 2-Year Swap Spread 23.50 -1.5 basis points
- TED Spread 54.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.73 +.45%
- 3-Month T-Bill Yield .28% +1.0 basis point
- Yield Curve 83.0 +2.0 basis points
- China Import Iron Ore Spot $60.22/Metric Tonne -.25%
- Citi US Economic Surprise Index 7.70 -3.2 points
- Citi Eurozone Economic Surprise Index 28.4 -.2 point
- Citi Emerging Markets Economic Surprise Index -.4 -3.4 points
- 10-Year TIPS Spread 1.46% unch.
- 21.5% chance of Fed rate hike at Nov. 2 meeting, 44.8% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +25 open in Japan
- China A50 Futures: Indicating +78 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Higher: On gains in my retail/biotech/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment