Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.69 +2.27%
- Euro/Yen Carry Return Index 118.48 +.02%
- Emerging Markets Currency Volatility(VXY) 9.98 +1.32%
- S&P 500 Implied Correlation 44.36 +.09%
- ISE Sentiment Index 84.0 -38.97%
- Total Put/Call .83 +12.0%
- NYSE Arms .91 -9.91%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.60 +.95%
- America Energy Sector High-Yield CDS Index 682.0 -2.96%
- European Financial Sector CDS Index 92.86 +4.25%
- Western Europe Sovereign Debt CDS Index 24.75 +1.85%
- Asia Pacific Sovereign Debt CDS Index 43.27 +.46%
- Emerging Market CDS Index 240.98 +.36%
- iBoxx Offshore RMB China Corporate High Yield Index 131.40 -.03%
- 2-Year Swap Spread 25.75 +.25 basis point
- TED Spread 51.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -36.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.65 -.31%
- 3-Month T-Bill Yield .30% +1.0 basis point
- Yield Curve 83.0 unch.
- China Import Iron Ore Spot $60.95/Metric Tonne +.40%
- Citi US Economic Surprise Index 4.6 -.7 point
- Citi Eurozone Economic Surprise Index 27.6 unch.
- Citi Emerging Markets Economic Surprise Index -1.8 unch.
- 10-Year TIPS Spread 1.50% +1.0 basis point
- 30.5% chance of Fed rate hike at Nov. 2 meeting, 52.4% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -70 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/medical/tech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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