Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.59 -.34%
- Euro/Yen Carry Return Index 135.96 +.15%
- Emerging Markets Currency Volatility(VXY) 7.72 unch.
- S&P 500 Implied Correlation 33.99 -3.86%
- ISE Sentiment Index 86.0 -16.5%
- Total Put/Call 1.13 +21.5%
- NYSE Arms .98 +28.14%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.07 +.19%
- America Energy Sector High-Yield CDS Index 446.0 -1.13%
- European Financial Sector CDS Index 51.25 -.51%
- Western Europe Sovereign Debt CDS Index 5.77 +6.16%
- Asia Pacific Sovereign Debt CDS Index 20.36 +1.09%
- Emerging Market CDS Index 176.06 -.64%
- iBoxx Offshore RMB China Corporate High Yield Index 141.45 +.04%
- 2-Year Swap Spread 23.75 +1.0 basis point
- TED Spread 27.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.25 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.24 +.44%
- 3-Month T-Bill Yield 1.04% -2.0 basis points
- Yield Curve 78.0 -2.0 basis points
- China Import Iron Ore Spot $78.39/Metric Tonne n/a
- Citi US Economic Surprise Index -25.30 -6.5 points
- Citi Eurozone Economic Surprise Index 20.40 -1.5 points
- Citi Emerging Markets Economic Surprise Index 23.80 -.1 basis point
- 10-Year TIPS Spread 1.79 unch.
- 12.0% chance of Fed rate hike at Nov. 1 meeting, 34.9% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -66 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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