- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.60 -.53%
- Euro/Yen Carry Return Index 129.27 -.60%
- Emerging Markets Currency Volatility(VXY) 11.28 -.18%
- S&P 500 Implied Correlation 42. -4.42%
- ISE Sentiment Index 111.0 +22.0 points
- Total Put/Call .69 -6.8%
- NYSE Arms .84 -33.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.80 +.49%
- US Energy High-Yield OAS 782.30 +.40%
- European Financial Sector CDS Index 63.66 -3.3%
- Italian/German 10Y Yld Spread 142.0 +1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.68 -.68%
- Emerging Market CDS Index 183.03 -1.4%
- iBoxx Offshore RMB China Corporate High Yield Index 177.20 -.02%
- 2-Year Swap Spread 8.0 +.25 basis point
- TED Spread 16.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -1.0 -1.75 basis points
- MBS 5/10 Treasury Spread 88.75 +.25 basis point
- IHS Markit CMBX BBB- 6 68.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.02 -.44%
- 3-Month T-Bill Yield .9% unch.
- Yield Curve 49.25 -1.5 basis points
- China Iron Ore Spot 121.92 USD/Metric Tonne -2.3%
- Citi US Economic Surprise Index 254.6 +5.0 points
- Citi Eurozone Economic Surprise Index 132.50 -49.7 points
- Citi Emerging Markets Economic Surprise Index 26.1 +2.7 points
- 10-Year TIPS Spread 1.64 +1.0 basis point
- 100.0% chance of no change at Nov. 5th meeting, 100.0% chance of no change at Dec. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -90 open in Japan
- China A50 Futures: Indicating -48 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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