Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.61 +1.93%
- Euro/Yen Carry Return Index 118.62 +.59%
- Emerging Markets Currency Volatility(VXY) 9.52 +.42%
- S&P 500 Implied Correlation 42.72 -2.8%
- ISE Sentiment Index 110.0 -20.9%
- Total Put/Call .97 +5.43%
- NYSE Arms .79 -19.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.42 +.91%
- America Energy Sector High-Yield CDS Index 742.0 -1.82%
- European Financial Sector CDS Index 86.25 -1.66%
- Western Europe Sovereign Debt CDS Index 23.66 -4.13%
- Asia Pacific Sovereign Debt CDS Index 44.36 -2.58%
- Emerging Market CDS Index 244.50 -3.85%
- iBoxx Offshore RMB China Corporate High Yield Index 131.59 +.11%
- 2-Year Swap Spread 28.75 +2.5 basis points
- TED Spread 53.50 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -43.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.99 +.52%
- 3-Month T-Bill Yield .26% unch.
- Yield Curve 87.0 unch.
- China Import Iron Ore Spot $61.56/Metric Tonne +1.35%
- Citi US Economic Surprise Index 19.10 -1.8 points
- Citi Eurozone Economic Surprise Index 29.8 +1.6 points
- Citi Emerging Markets Economic Surprise Index 1.0 +.9 point
- 10-Year TIPS Spread 1.51% unch.
- 29.2% chance of Fed rate hike at Nov. 2 meeting, 47.4% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +5 open in Japan
- China A50 Futures: Indicating +23 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Lower: On losses in my biotech/medical sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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