Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.9 +.37%
- Euro/Yen Carry Return Index 133.35 -.51%
- Emerging Markets Currency Volatility(VXY) 10.81 +4.04%
- S&P 500 Implied Correlation 28.69 +7.6%
- ISE Sentiment Index 96.0 +15.7%
- Total Put/Call .82 -14.6%
- NYSE Arms 1.32 +16.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.62 +.92%
- America Energy Sector High-Yield CDS Index 364.0 +1.60%
- European Financial Sector CDS Index 79.74 +1.55%
- Italian/German 10Y Yld Spread 252.25 +.75 basis point
- Asia Pacific Sovereign Debt CDS Index 10.20 +.25%
- Emerging Market CDS Index 181.47 +3.34%
- iBoxx Offshore RMB China Corporate High Yield Index 150.52 +.16%
- 2-Year Swap Spread 19.5 unch.
- TED Spread 30.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -7.0 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 68.31 -.95%
- 3-Month T-Bill Yield 2.04% -1.0 basis point
- Yield Curve 28.25 -1.5 basis points
- China Iron Ore Spot 69.60 USD/Metric Tonne -.01%
- Citi US Economic Surprise Index -12.0 +1.1 points
- Citi Eurozone Economic Surprise Index -34.30 -.8 point
- Citi Emerging Markets Economic Surprise Index -2.0 -.2 point
- 10-Year TIPS Spread 2.11 -2.0 basis points
- 92.5% chance of Fed rate hike at Nov. 8th meeting, 97.4% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +2 open in Japan
- China A50 Futures: Indicating +83 open in China
- DAX Futures: Indicating +1 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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