Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.56 +2.62%
- Euro/Yen Carry Return Index 136.07 +.26%
- Emerging Markets Currency Volatility(VXY) 7.53 +.4%
- S&P 500 Implied Correlation 30.0 +5.86%
- ISE Sentiment Index 76.0 unch.
- Total Put/Call .89 +8.54%
- NYSE Arms .91 -35.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.37 -.35%
- America Energy Sector High-Yield CDS Index 436.0 +.61%
- European Financial Sector CDS Index 50.33 +.39%
- Western Europe Sovereign Debt CDS Index 4.90 +8.53%
- Asia Pacific Sovereign Debt CDS Index 19.04 -4.61%
- Emerging Market CDS Index 190.80 -.15%
- iBoxx Offshore RMB China Corporate High Yield Index 140.55 +.04%
- 2-Year Swap Spread 24.75 +.25 basis point
- TED Spread 23.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.50 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.02 +.16%
- 3-Month T-Bill Yield 1.07% -1.0 basis point
- Yield Curve 94.0 unch.
- China Import Iron Ore Spot $73.70/Metric Tonne +7.23%
- Citi US Economic Surprise Index -43.10 +1.4 points
- Citi Eurozone Economic Surprise Index 19.10 +3.0 basis points
- Citi Emerging Markets Economic Surprise Index 16.30 +.5 basis point
- 10-Year TIPS Spread 1.82 unch.
- 19.5% chance of Fed rate hike at Nov. 1 meeting, 48.4% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +10 open in Japan
- China A50 Futures: Indicating +46 open in China
- DAX Futures: Indicating -25 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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