Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.68 +9.97%
- Euro/Yen Carry Return Index 118.31 -.93%
- Emerging Markets Currency Volatility(VXY) 9.46 -.32%
- S&P 500 Implied Correlation 50.24 +7.23%
- ISE Sentiment Index 77.0 +6.94%
- Total Put/Call 1.17 -13.97%
- NYSE Arms .86 -42.90%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.99 +2.28%
- America Energy Sector High-Yield CDS Index 795.0 +2.4%
- European Financial Sector CDS Index 97.75 +6.52%
- Western Europe Sovereign Debt CDS Index 23.93 -4.93%
- Asia Pacific Sovereign Debt CDS Index 48.30 +1.24%
- Emerging Market CDS Index 264.82 +.50%
- iBoxx Offshore RMB China Corporate High Yield Index 131.37 +.02%
- 2-Year Swap Spread 24.5 +2.0 basis points
- TED Spread 49.0 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -47.5 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.41 +.06%
- 3-Month T-Bill Yield .27% +2.0 basis points
- Yield Curve 87.0 +5.0 basis points
- China Import Iron Ore Spot $61.94/Metric Tonne -.53%
- Citi US Economic Surprise Index 15.80 +2.0 points
- Citi Eurozone Economic Surprise Index 29.2 unch.
- Citi Emerging Markets Economic Surprise Index -2.0 -.3 point
- 10-Year TIPS Spread 1.44% -3.0 basis points
- 21.7% chance of Fed rate hike at Nov. 2 meeting, 37.3% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -311 open in Japan
- China A50 Futures: Indicating -69 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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