Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.54 -12.43%
- Euro/Yen Carry Return Index 134.21 -.06%
- Emerging Markets Currency Volatility(VXY) 7.30 -.27%
- S&P 500 Implied Correlation 34.01 -14.0%
- ISE Sentiment Index 122.0 +12.96%
- Total Put/Call 1.0 +2.04%
- NYSE Arms .86 -22.49%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.80 -2.26%
- America Energy Sector High-Yield CDS Index 472.0 +2.12%
- European Financial Sector CDS Index 55.42 -.60%
- Western Europe Sovereign Debt CDS Index 5.78 +3.03%
- Asia Pacific Sovereign Debt CDS Index 21.19 -1.12%
- Emerging Market CDS Index 189.50 -1.15%
- iBoxx Offshore RMB China Corporate High Yield Index 141.05 -.17%
- 2-Year Swap Spread 25.50 -.5 basis point
- TED Spread 31.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -26.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.88 -.04%
- 3-Month T-Bill Yield 1.0% +2.0 basis points
- Yield Curve 89.0 +1.0 basis point
- China Import Iron Ore Spot $79.65/Metric Tonne -.35%
- Citi US Economic Surprise Index -27.40 +.2 point
- Citi Eurozone Economic Surprise Index 6.60 -2.0 points
- Citi Emerging Markets Economic Surprise Index 19.60 +.1 basis point
- 10-Year TIPS Spread 1.77 +1.0 basis point
- 15.8% chance of Fed rate hike at Nov. 1 meeting, 42.7% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +75 open in Japan
- China A50 Futures: Indicating +38 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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