Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.5 +8.2%
- Euro/Yen Carry Return Index 135.20 -.59%
- Emerging Markets Currency Volatility(VXY) 8.15 +5.0%
- S&P 500 Implied Correlation 34.95 +8.61%
- ISE Sentiment Index 96.0 +10.34%
- Total Put/Call 1.02 -9.73%
- NYSE Arms 1.58 +50.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.95 +1.21%
- America Energy Sector High-Yield CDS Index 443.0 -.70%
- European Financial Sector CDS Index 51.70 +.88%
- Western Europe Sovereign Debt CDS Index 5.50 -4.77%
- Asia Pacific Sovereign Debt CDS Index 19.46 -4.42%
- Emerging Market CDS Index 176.69 +.46%
- iBoxx Offshore RMB China Corporate High Yield Index 141.50 +.04%
- 2-Year Swap Spread 24.0 +.25 basis point
- TED Spread 27.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -22.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 75.22 -.08%
- 3-Month T-Bill Yield 1.04% unch.
- Yield Curve 79.0 +1.0 basis point
- China Import Iron Ore Spot $78.39/Metric Tonne n/a
- Citi US Economic Surprise Index -23.80 +1.5 points
- Citi Eurozone Economic Surprise Index 19.60 -.8 point
- Citi Emerging Markets Economic Surprise Index 25.50 +1.7 basis points
- 10-Year TIPS Spread 1.81 +2.0 basis points
- 11.9% chance of Fed rate hike at Nov. 1 meeting, 33.0% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -59 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating -2 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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