Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 24.8 +8.0%
- Bloomberg Global Risk On/Risk Off Index 548.0 -72.0 points
- Euro/Yen Carry Return Index 130.97 +.76%
- Emerging Markets Currency Volatility(VXY) 11.14 +.91%
- S&P 500 Implied Correlation 41.8 +16.9%
- ISE Sentiment Index 102.0 -22.0 points
- Total Put/Call .77 +.10%
- NYSE Arms 1.11 +80.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.12 -1.22%
- US Energy High-Yield OAS 760.65 +.07%
- European Financial Sector CDS Index 61.42 +.2%
- Italian/German 10Y Yld Spread 145.5 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 61.16 -1.5%
- Emerging Market CDS Index 172.08 -1.66%
- iBoxx Offshore RMB China Corporate High Yield Index 177.82 +.13%
- 2-Year Swap Spread 8.75 -.25 basis point
- TED Spread 14.5 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -5.25 -.75 basis point
- MBS 5/10 Treasury Spread 92.0 -1.5 basis points
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.66 -.36%
- 3-Month T-Bill Yield .10% unch.
- Yield Curve 60.0 -1.5 basis points
- China Iron Ore Spot 118.74 USD/Metric Tonne +.34%
- Citi US Economic Surprise Index 242.50 -31.7 points
- Citi Eurozone Economic Surprise Index 132.6 -19.3 points
- Citi Emerging Markets Economic Surprise Index 9.1 -15.9 points
- 10-Year TIPS Spread 1.79 +2.0 basis points
- 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 +11 open in Japan
- China A50 Futures: Indicating -174 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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