Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mostly Higher
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.51 -6.7%
- Euro/Yen Carry Return Index 134.04 +.04%
- Emerging Markets Currency Volatility(VXY) 7.41 -.54%
- S&P 500 Implied Correlation 40.7 +12.4%
- ISE Sentiment Index 66.0 -8.3%
- Total Put/Call 1.02 -4.7%
- NYSE Arms 1.06 -38.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.49 +3.55%
- America Energy Sector High-Yield CDS Index 459.0 +.15%
- European Financial Sector CDS Index 55.93 +2.9%
- Western Europe Sovereign Debt CDS Index 5.58 +1.0%
- Asia Pacific Sovereign Debt CDS Index 21.54 +.09%
- Emerging Market CDS Index 190.38 -1.42%
- iBoxx Offshore RMB China Corporate High Yield Index 141.16 +.10%
- 2-Year Swap Spread 26.5 +.5 basis point
- TED Spread 31.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -27.0 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.80 +.23%
- 3-Month T-Bill Yield 1.0% unch.
- Yield Curve 89.0 -1.0 basis point
- China Import Iron Ore Spot $77.94/Metric Tonne +6.81%
- Citi US Economic Surprise Index -29.40 -3.3 points
- Citi Eurozone Economic Surprise Index 9.90 -.6 point
- Citi Emerging Markets Economic Surprise Index 18.30 +1.4 basis points
- 10-Year TIPS Spread 1.77 -1.0 basis point
- 15.6% chance of Fed rate hike at Nov. 1 meeting, 42.5% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +15 open in Japan
- China A50 Futures: Indicating +19 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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