Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.95 +3.64%
- Euro/Yen Carry Return Index 118.73 -.38%
- Emerging Markets Currency Volatility(VXY) 10.80 -.74%
- S&P 500 Implied Correlation 55.46 +8.05%
- ISE Sentiment Index 76.0 -19.15%
- Total Put/Call .68 -32.0%
- NYSE Arms 1.54 +19.82%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.93 -1.34%
- America Energy Sector High-Yield CDS Index 683.0 +2.73%
- European Financial Sector CDS Index 92.49 -3.66%
- Western Europe Sovereign Debt CDS Index 25.20 -1.22%
- Asia Pacific Sovereign Debt CDS Index 38.05 -1.30%
- Emerging Market CDS Index 252.48 -2.97%
- iBoxx Offshore RMB China Corporate High Yield Index 131.60 -.05%
- 2-Year Swap Spread 25.25 -.25 basis point
- TED Spread 57.25 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.35 +.32%
- 3-Month T-Bill Yield .25% -3.0 basis points
- Yield Curve 92.0 -.5 basis point
- China Import Iron Ore Spot $55.68/Metric Tonne -.52%
- Citi US Economic Surprise Index 3.30 +6.3 points
- Citi Eurozone Economic Surprise Index -24.40 -2.7 points
- Citi Emerging Markets Economic Surprise Index -15.1 -.4 point
- 10-Year TIPS Spread 1.52% unch.
- 26.8% chance of Fed rate hike at Nov. 2 meeting, 55.5% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -200 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating -42 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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