Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.0 -.5%
- Euro/Yen Carry Return Index 136.84 +.68%
- Emerging Markets Currency Volatility(VXY) 7.49 +.13%
- S&P 500 Implied Correlation 28.01 +9.2%
- ISE Sentiment Index n/a
- Total Put/Call .94 +9.3%
- NYSE Arms .94 -25.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.19 -.58%
- America Energy Sector High-Yield CDS Index 436.0 +.07%
- European Financial Sector CDS Index 50.04 -.06%
- Western Europe Sovereign Debt CDS Index 5.49 +7.54%
- Asia Pacific Sovereign Debt CDS Index 18.71 -.58%
- Emerging Market CDS Index 188.20 -.93%
- iBoxx Offshore RMB China Corporate High Yield Index 140.58 +.01%
- 2-Year Swap Spread 24.25 +.25 basis point
- TED Spread 23.25 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.75 +.35 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.98 +.11%
- 3-Month T-Bill Yield 1.07% unch.
- Yield Curve 90.0 -1.0 basis point
- China Import Iron Ore Spot $72.30/Metric Tonne -1.71%
- Citi US Economic Surprise Index -45.60 -.8 point
- Citi Eurozone Economic Surprise Index 15.90 -.2 basis point
- Citi Emerging Markets Economic Surprise Index 18.80 -1.5 basis points
- 10-Year TIPS Spread 1.79 unch.
- 19.5% chance of Fed rate hike at Nov. 1 meeting, 46.7% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -5 open in Japan
- China A50 Futures: Indicating +32 open in China
- DAX Futures: Indicating -4 open in Germany
Portfolio:
- Lower: On losses in my tech/retail/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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