Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.33 +1.57%
- Euro/Yen Carry Return Index 138.80 +.51%
- Emerging Markets Currency Volatility(VXY) 7.63 -.65%
- S&P 500 Implied Correlation 24.50 +3.95%
- ISE Sentiment Index 86.0 +19.4%
- Total Put/Call .91 -15.0%
- NYSE Arms 1.1 -8.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.20 -.06%
- America Energy Sector High-Yield CDS Index 423.0 +1.37%
- European Financial Sector CDS Index 47.55 -1.96%
- Western Europe Sovereign Debt CDS Index 4.69 -5.26%
- Asia Pacific Sovereign Debt CDS Index 18.22 -.44%
- Emerging Market CDS Index 170.84 +.99%
- iBoxx Offshore RMB China Corporate High Yield Index 141.75 +.02%
- 2-Year Swap Spread 26.0 +.75 basis point
- TED Spread 29.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -24.5 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.5 -.34%
- 3-Month T-Bill Yield 1.02% -1.0 basis point
- Yield Curve 84.0 +2.0 basis points
- China Import Iron Ore Spot $71.76/Metric Tonne -.51%
- Citi US Economic Surprise Index -22.60 -3.6 points
- Citi Eurozone Economic Surprise Index 18.20 -.2 point
- Citi Emerging Markets Economic Surprise Index 14.40 -1.4 basis points
- 10-Year TIPS Spread 1.88 +2.0 basis points
- 15.6% chance of Fed rate hike at Nov. 1 meeting, 56.0% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +86 open in Japan
- China A50 Futures: Indicating +62 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech sector longs
- Disclosed Trades: None of note
- Market Exposure: 100% Net Long
No comments:
Post a Comment