Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.86 +3.13%
- Euro/Yen Carry Return Index 118.29 -.30%
- Emerging Markets Currency Volatility(VXY) 10.0 +.2%
- S&P 500 Implied Correlation 43.69 +2.01%
- ISE Sentiment Index 93.0 -14.68%
- Total Put/Call .93 -5.1%
- NYSE Arms 1.06 +19.92%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.25 -.05%
- America Energy Sector High-Yield CDS Index 731.0 -1.83%
- European Financial Sector CDS Index 85.54 -.83%
- Western Europe Sovereign Debt CDS Index 24.88 +5.16%
- Asia Pacific Sovereign Debt CDS Index 44.07 -.93%
- Emerging Market CDS Index 242.98 -1.45%
- iBoxx Offshore RMB China Corporate High Yield Index 131.62 +.03%
- 2-Year Swap Spread 28.5 -.25 basis point
- TED Spread 51.25 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -42.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.23 +.33%
- 3-Month T-Bill Yield .28% +2.0 basis points
- Yield Curve 83.0 -4.0 basis points
- China Import Iron Ore Spot $61.56/Metric Tonne n/a
- Citi US Economic Surprise Index 19.0 -.1 point
- Citi Eurozone Economic Surprise Index 28.9 -.9 point
- Citi Emerging Markets Economic Surprise Index 2.90 +1.9 points
- 10-Year TIPS Spread 1.49% -2.0 basis points
- 25.6% chance of Fed rate hike at Nov. 2 meeting, 44.9% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -75 open in Japan
- China A50 Futures: Indicating +36 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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