Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.69 +5.6%
- Euro/Yen Carry Return Index 122.49 -.18%
- Emerging Markets Currency Volatility(VXY) 8.80 +1.97%
- S&P 500 Implied Correlation 42.15 +.24%
- ISE Sentiment Index 89.0 +39.06%
- Total Put/Call .95 -26.9%
- NYSE Arms .94 -6.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.79 -.56%
- America Energy Sector High-Yield CDS Index 406.0 -1.74%
- European Financial Sector CDS Index 62.54 +1.91%
- Italian/German 10Y Yld Spread 195.25 -5.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.99 -.66%
- Emerging Market CDS Index 204.68 -.91%
- iBoxx Offshore RMB China Corporate High Yield Index 164.84 -.01%
- 2-Year Swap Spread -1.0 -.5 basis point
- TED Spread 17.25 -6.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 -5.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.44 -.31%
- 3-Month T-Bill Yield 1.98% +1.0 basis point
- Yield Curve 0.0 -1.25 basis points
- China Iron Ore Spot 82.80 USD/Metric Tonne +2.45%
- Citi US Economic Surprise Index -14.2 -4.1 points
- Citi Eurozone Economic Surprise Index -41.70 +18.2 points
- Citi Emerging Markets Economic Surprise Index -25.1 +.2 point
- 10-Year TIPS Spread 1.55 +1.0 basis point
- 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -9 open in Japan
- China A50 Futures: Indicating -33 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech/industrial sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
- Market Exposure: 75% Net Long
No comments:
Post a Comment