Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.1 +4.92%
- Euro/Yen Carry Return Index 120.85 +.27%
- Emerging Markets Currency Volatility(VXY) 10.06 -1.08%
- S&P 500 Implied Correlation 48.09 +3.32%
- ISE Sentiment Index 88.0 +72.55%
- Total Put/Call .99 -18.18%
- NYSE Arms 1.10 +12.18%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.88 +1.76%
- America Energy Sector High-Yield CDS Index 690.0 +.59%
- European Financial Sector CDS Index 89.5 -.81%
- Western Europe Sovereign Debt CDS Index 24.94 +3.61%
- Asia Pacific Sovereign Debt CDS Index 38.40 +.04%
- Emerging Market CDS Index 246.00 +.17%
- iBoxx Offshore RMB China Corporate High Yield Index 131.36 -.09%
- 2-Year Swap Spread 24.75 -.25 basis point
- TED Spread 51.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -39.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.24 -.05%
- 3-Month T-Bill Yield .32% unch.
- Yield Curve 79.0 +1.0 basis point
- China Import Iron Ore Spot $58.86/Metric Tonne -.19%
- Citi US Economic Surprise Index 4.8 -8.7 points
- Citi Eurozone Economic Surprise Index -4.0 -.9 point
- Citi Emerging Markets Economic Surprise Index -5.9 +2.0 points
- 10-Year TIPS Spread 1.46% -1.0 basis point
- 39.7% chance of Fed rate hike at Nov. 2 meeting, 58.6% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +34 open in Japan
- China A50 Futures: Indicating -10 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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