Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 18.41 +21.7%
- Euro/Yen Carry Return Index 120.21 +.59%
- Emerging Markets Currency Volatility(VXY) 10.61 +1.92%
- S&P 500 Implied Correlation 56.58 +15.71%
- ISE Sentiment Index 55.0 -31.25%
- Total Put/Call 1.02 +4.08%
- NYSE Arms 3.21 +676.82%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.26 +5.5%
- America Energy Sector High-Yield CDS Index 671.0 +.06%
- European Financial Sector CDS Index 92.67 +2.48%
- Western Europe Sovereign Debt CDS Index 25.05 +.36%
- Asia Pacific Sovereign Debt CDS Index 39.57 +3.49%
- Emerging Market CDS Index 254.12 +1.83%
- iBoxx Offshore RMB China Corporate High Yield Index 131.69 -.02%
- 2-Year Swap Spread 24.5 -.75 basis point
- TED Spread 48.75 -3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.75 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.03 -.71%
- 3-Month T-Bill Yield .35% -1.0 basis point
- Yield Curve 93.0 +4.0 basis points
- China Import Iron Ore Spot $56.09/Metric Tonne -2.92%
- Citi US Economic Surprise Index -5.8 -.9 point
- Citi Eurozone Economic Surprise Index -20.8 -.9 point
- Citi Emerging Markets Economic Surprise Index -15.1 +1.7 points
- 10-Year TIPS Spread 1.51% unch.
- 28.7% chance of Fed rate hike at Nov. 2 meeting, 56.8% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -149 open in Japan
- China A50 Futures: Indicating -62 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, added to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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