Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.23 +.79%
- Euro/Yen Carry Return Index 139.47 +.29%
- Emerging Markets Currency Volatility(VXY) 7.72 +.52%
- S&P 500 Implied Correlation 23.78 -1.95%
- ISE Sentiment Index 45.0 -37.97%
- Total Put/Call .75 -17.6%
- NYSE Arms 1.0 +11.67%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.03 -1.53%
- America Energy Sector High-Yield CDS Index 413.0 -1.52%
- European Financial Sector CDS Index 46.42 -2.73%
- Western Europe Sovereign Debt CDS Index 4.72 +.75%
- Asia Pacific Sovereign Debt CDS Index 17.97 -1.45%
- Emerging Market CDS Index 174.68 +2.34%
- iBoxx Offshore RMB China Corporate High Yield Index 141.65 -.07%
- 2-Year Swap Spread 26.0 unch.
- TED Spread 29.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -1.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.59 +.07%
- 3-Month T-Bill Yield 1.03% +1.0 basis point
- Yield Curve 84.0 unch.
- China Import Iron Ore Spot $68.85/Metric Tonne -4.06%
- Citi US Economic Surprise Index -17.50 +5.1 points
- Citi Eurozone Economic Surprise Index 21.20 +3.0 points
- Citi Emerging Markets Economic Surprise Index 15.40 +1.0 basis point
- 10-Year TIPS Spread 1.88 unch.
- 13.8% chance of Fed rate hike at Nov. 1 meeting, 56.9% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -114 open in Japan
- China A50 Futures: Indicating -14 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs
- Disclosed Trades: None of note
- Market Exposure: 100% Net Long
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