Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.81 -2.19%
- Euro/Yen Carry Return Index 136.18 +.18%
- Emerging Markets Currency Volatility(VXY) 7.42 -.54%
- S&P 500 Implied Correlation 29.74 -1.95%
- ISE Sentiment Index n/a
- Total Put/Call .91 -9.9%
- NYSE Arms .92 +20.36%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.95 +.53%
- America Energy Sector High-Yield CDS Index 432.0 -8.13%
- European Financial Sector CDS Index 51.18 +1.32%
- Western Europe Sovereign Debt CDS Index 5.49 -.27%
- Asia Pacific Sovereign Debt CDS Index 19.37 +3.2%
- Emerging Market CDS Index 182.41 -2.24%
- iBoxx Offshore RMB China Corporate High Yield Index 140.69 +.11%
- 2-Year Swap Spread 25.0 unch.
- TED Spread 24.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.82 +.07%
- 3-Month T-Bill Yield 1.05% -2.0 basis points
- Yield Curve 91.0 unch.
- China Import Iron Ore Spot $76.17/Metric Tonne +2.77%
- Citi US Economic Surprise Index -39.10 +1.7 points
- Citi Eurozone Economic Surprise Index 13.30 -5.0 basis points
- Citi Emerging Markets Economic Surprise Index 16.80 -.4 basis point
- 10-Year TIPS Spread 1.81 +1.0 basis point
- 19.5% chance of Fed rate hike at Nov. 1 meeting, 48.4% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -9 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating -19 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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