Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.55 +2.38%
- Euro/Yen Carry Return Index 136.28 +.26%
- Emerging Markets Currency Volatility(VXY) 7.17 +.84%
- S&P 500 Implied Correlation 35.49 +.28%
- ISE Sentiment Index 132.0 +22.22%
- Total Put/Call .93 -4.12%
- NYSE Arms 1.30 +25.61%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.46 -.99%
- America Energy Sector High-Yield CDS Index 477.0 +.31%
- European Financial Sector CDS Index 54.87 -.69%
- Western Europe Sovereign Debt CDS Index 5.88 -1.18%
- Asia Pacific Sovereign Debt CDS Index 18.21 -7.28%
- Emerging Market CDS Index 185.97 +.65%
- iBoxx Offshore RMB China Corporate High Yield Index 141.13 +.05%
- 2-Year Swap Spread 21.75 -1.5 basis points
- TED Spread 30.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.56 +.09%
- 3-Month T-Bill Yield 1.02% unch.
- Yield Curve 83.0 -1.0 basis point
- China Import Iron Ore Spot $77.15/Metric Tonne -1.57%
- Citi US Economic Surprise Index -30.90 +1.4 points
- Citi Eurozone Economic Surprise Index 25.90 +6.7 points
- Citi Emerging Markets Economic Surprise Index 19.70 +1.6 basis points
- 10-Year TIPS Spread 1.76 unch.
- 17.5% chance of Fed rate hike at Nov. 1 meeting, 38.8% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -2 open in Japan
- China A50 Futures: Indicating +46 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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