Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.78 -7.92%
- Euro/Yen Carry Return Index 134.58 +.34%
- Emerging Markets Currency Volatility(VXY) 8.04 +1.26%
- S&P 500 Implied Correlation 39.45 -4.4%
- ISE Sentiment Index n/a
- Total Put/Call .97 +3.19%
- NYSE Arms 1.30 +29.79%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.44 +.02%
- America Energy Sector High-Yield CDS Index 449.0 +1.16%
- European Financial Sector CDS Index 55.30 -.74%
- Western Europe Sovereign Debt CDS Index 5.61 +3.41%
- Asia Pacific Sovereign Debt CDS Index 21.77 +3.72%
- Emerging Market CDS Index 191.19 -.74%
- iBoxx Offshore RMB China Corporate High Yield Index 140.87 +.04%
- 2-Year Swap Spread 26.0 +.0 basis point
- TED Spread 27.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -27.75 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.69 +.28%
- 3-Month T-Bill Yield 1.03% unch.
- Yield Curve 90.0 +2.0 basis points
- China Import Iron Ore Spot $75.19/Metric Tonne -1.94%
- Citi US Economic Surprise Index -36.60 -6.6 points
- Citi Eurozone Economic Surprise Index 12.60 unch.
- Citi Emerging Markets Economic Surprise Index 19.30 -5.2 basis points
- 10-Year TIPS Spread 1.80 -2.0 basis points
- 13.8% chance of Fed rate hike at Nov. 1 meeting, 37.9% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating n/a open in Japan
- China A50 Futures: Indicating -37 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Higher: On gains in my retail/biotech/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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