Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.9 -12.35%
- Euro/Yen Carry Return Index 120.02 -.27%
- Emerging Markets Currency Volatility(VXY) 10.96 +.74%
- S&P 500 Implied Correlation 51.23 -10.27%
- ISE Sentiment Index 127.0 +25.74%
- Total Put/Call .82 -24.1%
- NYSE Arms .53 -68.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.55 -3.98%
- America Energy Sector High-Yield CDS Index 680.0 +.53%
- European Financial Sector CDS Index 92.16 +1.07%
- Western Europe Sovereign Debt CDS Index 25.31 +1.36%
- Asia Pacific Sovereign Debt CDS Index 37.95 -1.89%
- Emerging Market CDS Index 256.31 -1.92%
- iBoxx Offshore RMB China Corporate High Yield Index 131.64 +.02%
- 2-Year Swap Spread 25.5 unch.
- TED Spread 53.0 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.37 +.25%
- 3-Month T-Bill Yield .28% -5.0 basis points
- Yield Curve 97.0 +4.0 basis points
- China Import Iron Ore Spot $55.97/Metric Tonne unch.
- Citi US Economic Surprise Index -9.5 -3.5 points
- Citi Eurozone Economic Surprise Index -21.0 -.5 point
- Citi Emerging Markets Economic Surprise Index -14.3 +1.1 points
- 10-Year TIPS Spread 1.51% +1.0 basis point
- 26.8% chance of Fed rate hike at Nov. 2 meeting, 49.7% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +60 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating +27 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/retail/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: Moved to 50% Net Long
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