Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.14 +27.2%
- Euro/Yen Carry Return Index 134.18 -.6%
- Emerging Markets Currency Volatility(VXY) 7.91 +1.15%
- S&P 500 Implied Correlation 37.63 +19.7%
- ISE Sentiment Index n/a
- Total Put/Call .93 -11.4%
- NYSE Arms .96 +21.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.15 +3.02%
- America Energy Sector High-Yield CDS Index 444.0 +1.25%
- European Financial Sector CDS Index 55.70 +3.89%
- Western Europe Sovereign Debt CDS Index 5.43 +6.90%
- Asia Pacific Sovereign Debt CDS Index 20.98 +1.38%
- Emerging Market CDS Index 191.36 +1.74%
- iBoxx Offshore RMB China Corporate High Yield Index 140.82 unch.
- 2-Year Swap Spread 25.50 -1.0 basis point
- TED Spread 26.55 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.25 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.55 -.03%
- 3-Month T-Bill Yield 1.03% -1.0 basis point
- Yield Curve 88.0 -3.0 basis points
- China Import Iron Ore Spot $76.68/Metric Tonne +1.62%
- Citi US Economic Surprise Index -30.0 -.3 point
- Citi Eurozone Economic Surprise Index 12.60 -.6 basis point
- Citi Emerging Markets Economic Surprise Index 14.10 -.1 basis point
- 10-Year TIPS Spread 1.82 -1.0 basis point
- 19.3% chance of Fed rate hike at Nov. 1 meeting, 45.0% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -285 open in Japan
- China A50 Futures: Indicating -90 open in China
- DAX Futures: Indicating -36 open in Germany
Portfolio:
- Lower: On losses in my retail/biotech/tech/medical sector longs
- Disclosed Trades: added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 50% Net Long
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