Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.59 -5.23%
- Euro/Yen Carry Return Index 135.90 +.51%
- Emerging Markets Currency Volatility(VXY) 7.77 -.26%
- S&P 500 Implied Correlation 34.80 -4.94%
- ISE Sentiment Index 126.0 +55.6%
- Total Put/Call .85 -27.35%
- NYSE Arms .74 +7.65%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.57 -.65%
- America Energy Sector High-Yield CDS Index 453.0 -.93%
- European Financial Sector CDS Index 51.52 -.04%
- Western Europe Sovereign Debt CDS Index 5.44 +3.72%
- Asia Pacific Sovereign Debt CDS Index 20.19 +5.85%
- Emerging Market CDS Index 177.20 -.5%
- iBoxx Offshore RMB China Corporate High Yield Index 141.387 -.06%
- 2-Year Swap Spread 22.75 +.5 basis point
- TED Spread 26.75 -5.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.75 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.89 +.27%
- 3-Month T-Bill Yield 1.06% +6.0 basis points
- Yield Curve 80.0 +2.0 basis points
- China Import Iron Ore Spot $78.39/Metric Tonne n/a
- Citi US Economic Surprise Index -18.80 +.5 point
- Citi Eurozone Economic Surprise Index 21.90 -1.7 points
- Citi Emerging Markets Economic Surprise Index 23.90 +.8 basis point
- 10-Year TIPS Spread 1.79 +1.0 basis point
- 13.7% chance of Fed rate hike at Nov. 1 meeting, 39.5% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +137 open in Japan
- China A50 Futures: Indicating +26 open in China
- DAX Futures: Indicating +80 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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