Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.1 -7.1%
- Euro/Yen Carry Return Index 122.46 -.07%
- Emerging Markets Currency Volatility(VXY) 8.26 -3.05%
- S&P 500 Implied Correlation 37.36 -5.2%
- ISE Sentiment Index 72.0 -15.3%
- Total Put/Call .89 +8.5%
- NYSE Arms 1.38 +112.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.99 -2.98%
- America Energy Sector High-Yield CDS Index 417.0 -1.56%
- European Financial Sector CDS Index 56.80 -2.83%
- Italian/German 10Y Yld Spread 151.5 -2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.64 -1.61%
- Emerging Market CDS Index 197.82 -1.25%
- iBoxx Offshore RMB China Corporate High Yield Index 165.21 +.04%
- 2-Year Swap Spread 3.75 +5.75 basis points
- TED Spread 15.25 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.5 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.78 +.35%
- 3-Month T-Bill Yield 1.95% -1.0 basis point
- Yield Curve .04 +1.0 basis point
- China Iron Ore Spot 85.35 USD/Metric Tonne -1.41%
- Citi US Economic Surprise Index 5.4 -2.3 points
- Citi Eurozone Economic Surprise Index -36.90 -2.6 points
- Citi Emerging Markets Economic Surprise Index -14.8 -.2 point
- 10-Year TIPS Spread 1.55 unch.
- 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 +41 open in Japan
- China A50 Futures: Indicating +64 open in China
- DAX Futures: Indicating -6 open in Germany
Portfolio:
- Higher: On gains in my retail/industrial/tech/medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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