Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Light
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.08 -5.3%
- Euro/Yen Carry Return Index 136.85 -.15%
- Emerging Markets Currency Volatility(VXY) 7.53 +.67%
- S&P 500 Implied Correlation 33.55 +2.29%
- ISE Sentiment Index 108.0 +96.4%
- Total Put/Call .69 -10.39%
- NYSE Arms 1.03 -5.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.30 -1.55%
- America Energy Sector High-Yield CDS Index 474.0 -.47%
- European Financial Sector CDS Index 54.90 -3.03%
- Western Europe Sovereign Debt CDS Index 5.76 -4.0%
- Asia Pacific Sovereign Debt CDS Index 18.33 -3.04%
- Emerging Market CDS Index 182.71 -1.69%
- iBoxx Offshore RMB China Corporate High Yield Index 141.08 -.02%
- 2-Year Swap Spread 21.0 +.5 basis point
- TED Spread 29.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.38 -.17%
- 3-Month T-Bill Yield 1.01% +1.0 basis point
- Yield Curve 81.0 unch.
- China Import Iron Ore Spot $76.08/Metric Tonne -.37%
- Citi US Economic Surprise Index -21.20 +9.0 points
- Citi Eurozone Economic Surprise Index 29.80 +4.0 points
- Citi Emerging Markets Economic Surprise Index 18.60 -1.5 basis points
- 10-Year TIPS Spread 1.76 +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 +84 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +24 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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