Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 26.5 +1.3%
- Bloomberg Global Risk On/Risk Off Index 385.0 -75.0 points
- Euro/Yen Carry Return Index 130.25 -.41%
- Emerging Markets Currency Volatility(VXY) 11.3 +.36%
- S&P 500 Implied Correlation 43.8 -2.2%
- ISE Sentiment Index 116.0 -4.0 points
- Total Put/Call .73 +15.8%
- NYSE Arms 1.20 +4.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.57 +.09%
- US Energy High-Yield OAS 757.75 -.29%
- European Financial Sector CDS Index 56.52 -3.1%
- Italian/German 10Y Yld Spread 145.25 -3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 57.58 -4.55%
- Emerging Market CDS Index 158.60 -2.1%
- iBoxx Offshore RMB China Corporate High Yield Index 177.51 -.03%
- 2-Year Swap Spread 9.25 +.25 basis point
- TED Spread 14.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -5.5 -1.75 basis points
- MBS 5/10 Treasury Spread 87.5 -1.75 basis points
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.67 -.45%
- 3-Month T-Bill Yield .10% +1.0 basis point
- Yield Curve 55.25 -2.5 basis points
- China Iron Ore Spot 122.80 USD/Metric Tonne +.73%
- Citi US Economic Surprise Index 193.40 -13.4 points
- Citi Eurozone Economic Surprise Index 107.40 +.2 point
- Citi Emerging Markets Economic Surprise Index 9.2 -2.0 points
- 10-Year TIPS Spread 1.73 -5.0 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 +143 open in Japan
- China A50 Futures: Indicating -82 open in China
- DAX Futures: Indicating +47 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/biotech/medical/consumer staple sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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