Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.35 -8.62%
- Euro/Yen Carry Return Index 117.92 +.22%
- Emerging Markets Currency Volatility(VXY) 9.48 -1.35%
- S&P 500 Implied Correlation 43.44 -6.64%
- ISE Sentiment Index 154.0 +49.51%
- Total Put/Call .96 +6.67%
- NYSE Arms 1.08 +3.42%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.28 -2.63%
- America Energy Sector High-Yield CDS Index 749.0 -3.0%
- European Financial Sector CDS Index 87.71 -4.61%
- Western Europe Sovereign Debt CDS Index 24.68 +3.09%
- Asia Pacific Sovereign Debt CDS Index 45.67 -2.03%
- Emerging Market CDS Index 253.16 -1.17%
- iBoxx Offshore RMB China Corporate High Yield Index 131.434 -.03%
- 2-Year Swap Spread 26.25 -.5 basis point
- TED Spread 52.0 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -43.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.69 +.18%
- 3-Month T-Bill Yield .26% unch.
- Yield Curve 87.0 +1.5 basis points
- China Import Iron Ore Spot $60.74/Metric Tonne +2.31%
- Citi US Economic Surprise Index 20.90 +3.1 points
- Citi Eurozone Economic Surprise Index 28.2 -3.5 points
- Citi Emerging Markets Economic Surprise Index .1 +1.8 points
- 10-Year TIPS Spread 1.51% +4.0 basis points
- 27.6% chance of Fed rate hike at Nov. 2 meeting, 46.3% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +191 open in Japan
- China A50 Futures: Indicating +22 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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