Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.88 +2.25%
- Euro/Yen Carry Return Index 118.65 -.22%
- Emerging Markets Currency Volatility(VXY) 10.65 -1.75%
- S&P 500 Implied Correlation 54.40 +3.54%
- ISE Sentiment Index 58.0 -23.68%
- Total Put/Call 1.02 +29.11%
- NYSE Arms 1.16 -9.09%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.95 +8.38% (new series)
- America Energy Sector High-Yield CDS Index 672.0 -1.84%
- European Financial Sector CDS Index 102.70 +10.93%
- Western Europe Sovereign Debt CDS Index 21.90 -12.73%
- Asia Pacific Sovereign Debt CDS Index 31.57 -16.27%
- Emerging Market CDS Index 241.94 -4.19%
- iBoxx Offshore RMB China Corporate High Yield Index 131.66 +.04%
- 2-Year Swap Spread 26.0 +.75 basis point
- TED Spread 56.25 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -33.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.39 +.03%
- 3-Month T-Bill Yield .29% +4.0 basis points
- Yield Curve 91.0 -1.0 basis point
- China Import Iron Ore Spot $55.77/Metric Tonne +.16%
- Citi US Economic Surprise Index -1.70 -5.0 points
- Citi Eurozone Economic Surprise Index -24.90 -.5 point
- Citi Emerging Markets Economic Surprise Index -15.2 -.1 point
- 10-Year TIPS Spread 1.5% -2.0 basis points
- 28.7% chance of Fed rate hike at Nov. 2 meeting, 58.2% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -67 open in Japan
- China A50 Futures: Indicating +50 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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