Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.87 +26.86%
- Euro/Yen Carry Return Index 120.23 -.24%
- Emerging Markets Currency Volatility(VXY) 10.06 +4.79%
- S&P 500 Implied Correlation 51.26 +15.92%
- ISE Sentiment Index 71.0 -23.66%
- Total Put/Call 1.05 +8.25%
- NYSE Arms .66 -16.49%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.99 +4.42%
- America Energy Sector High-Yield CDS Index 661.0 -2.7%
- European Financial Sector CDS Index 88.70 +4.24%
- Western Europe Sovereign Debt CDS Index 24.64 +.76%
- Asia Pacific Sovereign Debt CDS Index 37.66 +4.58%
- Emerging Market CDS Index 238.31 +2.38%
- iBoxx Offshore RMB China Corporate High Yield Index 131.63 +.01%
- 2-Year Swap Spread 26.25 +.25 basis point
- TED Spread 49.25 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -28.50 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.57 -.97%
- 3-Month T-Bill Yield .34% unch.
- Yield Curve 89.0 +5.0 basis points
- China Import Iron Ore Spot $57.78/Metric Tonne -.62%
- Citi US Economic Surprise Index -4.9 -.1 point
- Citi Eurozone Economic Surprise Index -18.7 -4.6 points
- Citi Emerging Markets Economic Surprise Index -11.6 -1.6 points
- 10-Year TIPS Spread 1.51% -3.0 basis points
- 36.4% chance of Fed rate hike at Nov. 2 meeting, 60.3% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -170 open in Japan
- China A50 Futures: Indicating -73 open in China
- DAX Futures: Indicating -63 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and added to my emerging market shorts
- Market Exposure: 25% Net Long
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