Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.03 -2.24%
- Euro/Yen Carry Return Index 135.83 -.31%
- Emerging Markets Currency Volatility(VXY) 7.49 +.13%
- S&P 500 Implied Correlation 28.55 -4.3%
- ISE Sentiment Index n/a
- Total Put/Call .85 -6.59%
- NYSE Arms 1.18 +29.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.44 -1.5%
- America Energy Sector High-Yield CDS Index 435.0 +.4%
- European Financial Sector CDS Index 50.07 -.52%
- Western Europe Sovereign Debt CDS Index 5.1 +4.18%
- Asia Pacific Sovereign Debt CDS Index 18.82 -1.16%
- Emerging Market CDS Index 190.22 -.02%
- iBoxx Offshore RMB China Corporate High Yield Index 140.57 +.01%
- 2-Year Swap Spread 24.0 -.75 basis point
- TED Spread 24.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -27.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.89 -.15%
- 3-Month T-Bill Yield 1.07% unch.
- Yield Curve 91.0-3.0 basis points
- China Import Iron Ore Spot $73.56/Metric Tonne -.19%
- Citi US Economic Surprise Index -44.80 -1.7 points
- Citi Eurozone Economic Surprise Index 16.10 -3.0 basis points
- Citi Emerging Markets Economic Surprise Index 20.30 +4.0 basis points
- 10-Year TIPS Spread 1.79 -3.0 basis points
- 21.1% chance of Fed rate hike at Nov. 1 meeting, 46.1% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +35 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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