Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.53 +4.56%
- Euro/Yen Carry Return Index 119.89 +.66%
- Emerging Markets Currency Volatility(VXY) 10.16 +.89%
- S&P 500 Implied Correlation 46.75 +2.57%
- ISE Sentiment Index 83.0 -23.15%
- Total Put/Call .95 +3.26%
- NYSE Arms 1.02 +101.09%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.21 -.09%
- America Energy Sector High-Yield CDS Index 678.0 -1.37%
- European Financial Sector CDS Index 88.0 -1.22%
- Western Europe Sovereign Debt CDS Index 25.44 +4.03%
- Asia Pacific Sovereign Debt CDS Index 42.10 +.96%
- Emerging Market CDS Index 243.99 +.74%
- iBoxx Offshore RMB China Corporate High Yield Index 131.81 -.02%
- 2-Year Swap Spread 24.5 +1.5 basis points
- TED Spread 51.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.35 -.46%
- 3-Month T-Bill Yield .32% +1.0 basis point
- Yield Curve 77.0 +1.0 basis point
- China Import Iron Ore Spot $59.31/Metric Tonne +.29%
- Citi US Economic Surprise Index 12.1 +1.5 points
- Citi Eurozone Economic Surprise Index 6.0 -10.9 points
- Citi Emerging Markets Economic Surprise Index -5.9 -1.6 points
- 10-Year TIPS Spread 1.47% unch.
- 39.7% chance of Fed rate hike at Nov. 2 meeting, 58.6% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +115 open in Japan
- China A50 Futures: Indicating +11 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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