Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.89 +5.04%
- Euro/Yen Carry Return Index 136.84 +.26%
- Emerging Markets Currency Volatility(VXY) 7.48 +4.19%
- S&P 500 Implied Correlation 36.22 +3.54%
- ISE Sentiment Index 48.0 -66.0%
- Total Put/Call .69 -24.18%
- NYSE Arms 1.01 -27.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.19 +1.04%
- America Energy Sector High-Yield CDS Index 477.0 +.27%
- European Financial Sector CDS Index 56.62 +3.18%
- Western Europe Sovereign Debt CDS Index 6.0 +2.04%
- Asia Pacific Sovereign Debt CDS Index 18.21 +3.96%
- Emerging Market CDS Index 186.46 +.24%
- iBoxx Offshore RMB China Corporate High Yield Index 141.11 -.02%
- 2-Year Swap Spread 20.5 -1.25 basis points
- TED Spread 30.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -28.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.52 +.03%
- 3-Month T-Bill Yield 1.0% -2.0 basis Points
- Yield Curve 81.0 -2.0 basis points
- China Import Iron Ore Spot $76.36/Metric Tonne -1.02%
- Citi US Economic Surprise Index -30.20 +.7 point
- Citi Eurozone Economic Surprise Index 25.80 -.1 point
- Citi Emerging Markets Economic Surprise Index 20.10 +.4 basis point
- 10-Year TIPS Spread 1.75 -1.0 basis point
- 15.6% chance of Fed rate hike at Nov. 1 meeting, 37.5% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +73 open in Japan
- China A50 Futures: Indicating +11 open in China
- DAX Futures: Indicating +29 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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