Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.10%
- Euro/Yen Carry Return Index 134.11 +.47%
- Emerging Markets Currency Volatility(VXY) 12.91 +.16%
- S&P 500 Implied Correlation 29.34 -7.06%
- ISE Sentiment Index 107.0 -4.46%
- Total Put/Call 1.17 +.86%
- NYSE Arms 1.32 +88.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.84 -3.35%
- America Energy Sector High-Yield CDS Index 418.0 -.57%
- European Financial Sector CDS Index 71.04 -5.25%
- Italian/German 10Y Yld Spread 264.75 -5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.75 +1.84%
- Emerging Market CDS Index 229.27 +1.19%
- iBoxx Offshore RMB China Corporate High Yield Index 151.42 unch.
- 2-Year Swap Spread 18.75 -.25 basis point
- TED Spread 19.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.17 -.28%
- 3-Month T-Bill Yield 2.12% -1.0 basis point
- Yield Curve 22.5 -1.25 basis points
- China Iron Ore Spot 67.17 USD/Metric Tonne -1.18%
- Citi US Economic Surprise Index -4.8 -1.2 points
- Citi Eurozone Economic Surprise Index -4.3 -.4 point
- Citi Emerging Markets Economic Surprise Index -4.40 +2.1 points
- 10-Year TIPS Spread 2.10 -1.0 basis point
- 96.4% chance of Fed rate hike at Nov. 8th meeting, 99.1% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -48 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Higher: On gains in my industrial/retail/tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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