Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.45 -6.86%
- Euro/Yen Carry Return Index 136.50 -.08%
- Emerging Markets Currency Volatility(VXY) 7.54 -.4%
- S&P 500 Implied Correlation 32.58 -6.51%
- ISE Sentiment Index 114.0 +10.7%
- Total Put/Call 1.02 +37.8%
- NYSE Arms .86 -32.06%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.47 -2.47%
- America Energy Sector High-Yield CDS Index 470.0 -.20%
- European Financial Sector CDS Index 53.34 -2.84%
- Western Europe Sovereign Debt CDS Index 5.85 +1.56%
- Asia Pacific Sovereign Debt CDS Index 18.18 -.79%
- Emerging Market CDS Index 180.58 -1.50%
- iBoxx Offshore RMB China Corporate High Yield Index 141.10 +.01%
- 2-Year Swap Spread 20.75 -.25 basis point
- TED Spread 31.75 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.25 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.46 +.10%
- 3-Month T-Bill Yield .99% -2.0 basis points
- Yield Curve 79.0-2.0 basis points
- China Import Iron Ore Spot $78.91/Metric Tonne +3.72%
- Citi US Economic Surprise Index -23.10 -1.9 points
- Citi Eurozone Economic Surprise Index 28.0 -1.8 points
- Citi Emerging Markets Economic Surprise Index 16.30 -2.3 basis points
- 10-Year TIPS Spread 1.77 +1.0 basis point
- 15.6% chance of Fed rate hike at Nov. 1 meeting, 39.1% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +50 open in Japan
- China A50 Futures: Indicating +34 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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