Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.46 -.4%
- Euro/Yen Carry Return Index 137.30 +.25%
- Emerging Markets Currency Volatility(VXY) 7.72 -.39%
- S&P 500 Implied Correlation 26.31 -.38%
- ISE Sentiment Index 113.0 -26.13%
- Total Put/Call .77 -10.47%
- NYSE Arms .89 +22.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.43 +.69%
- America Energy Sector High-Yield CDS Index 420.0 -1.47%
- European Financial Sector CDS Index 48.82 -1.55%
- Western Europe Sovereign Debt CDS Index 4.93 -4.27%
- Asia Pacific Sovereign Debt CDS Index 18.43 +2.7%
- Emerging Market CDS Index 172.76 -.07%
- iBoxx Offshore RMB China Corporate High Yield Index 141.87 +.04%
- 2-Year Swap Spread 24.75 +1.0 basis point
- TED Spread 27.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.76 +.21%
- 3-Month T-Bill Yield 1.05% +2.0 basis points
- Yield Curve 83.0 -1.0 basis point
- China Import Iron Ore Spot $73.99/Metric Tonne -3.36%
- Citi US Economic Surprise Index -5.60 +2.9 points
- Citi Eurozone Economic Surprise Index 18.60 -.1 point
- Citi Emerging Markets Economic Surprise Index 14.10 -5.1 basis points
- 10-Year TIPS Spread 1.86 +1.0 basis point
- 13.7% chance of Fed rate hike at Nov. 1 meeting, 51.6% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -37 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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