Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.35 -7.2%
- Euro/Yen Carry Return Index 135.34 +.38%
- Emerging Markets Currency Volatility(VXY) 7.09 -.56%
- S&P 500 Implied Correlation 35.51 -3.7%
- ISE Sentiment Index 103.0 +17.1%
- Total Put/Call .92 -14.8%
- NYSE Arms 1.09 +3.27%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.68 -1.62%
- America Energy Sector High-Yield CDS Index 478.0 -.09%
- European Financial Sector CDS Index 55.26 -1.29%
- Western Europe Sovereign Debt CDS Index 5.95 +2.50%
- Asia Pacific Sovereign Debt CDS Index 19.64 -3.18%
- Emerging Market CDS Index 184.82 -1.23%
- iBoxx Offshore RMB China Corporate High Yield Index 141.07 +.02%
- 2-Year Swap Spread 23.25 -.75 basis point
- TED Spread 30.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.42 +.50%
- 3-Month T-Bill Yield 1.02% +1.0 basis point
- Yield Curve 84.0 -1.0 basis point
- China Import Iron Ore Spot $78.38/Metric Tonne +1.58%
- Citi US Economic Surprise Index -32.30 +3.9 points
- Citi Eurozone Economic Surprise Index 19.20 +.2 point
- Citi Emerging Markets Economic Surprise Index 18.10 +1.1 basis points
- 10-Year TIPS Spread 1.76 unch.
- 17.6% chance of Fed rate hike at Nov. 1 meeting, 40.5% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +28 open in Japan
- China A50 Futures: Indicating +52 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Higher: On gains in my medical/retail/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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