Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.55 +15.03%
- Euro/Yen Carry Return Index 131.23 -1.52%
- Emerging Markets Currency Volatility(VXY) 12.16 +12.4%
- S&P 500 Implied Correlation 32.64 +7.05%
- ISE Sentiment Index 88.0 -34.43%
- Total Put/Call 1.20 +39.5%
- NYSE Arms 1.56 +25.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.53 +4.61%
- America Energy Sector High-Yield CDS Index 371.0 +1.78%
- European Financial Sector CDS Index 85.99 +7.84%
- Italian/German 10Y Yld Spread 267.75 +15.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.50 +3.3%
- Emerging Market CDS Index 198.79 +8.77%
- iBoxx Offshore RMB China Corporate High Yield Index 150.82 +.20%
- 2-Year Swap Spread 19.25 -.25 basis point
- TED Spread 30.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 -4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.40 -2.73%
- 3-Month T-Bill Yield 2.04% unch.
- Yield Curve 26.0 -2.25 basis points
- China Iron Ore Spot 69.40 USD/Metric Tonne +.43%
- Citi US Economic Surprise Index -11.90 +.1 point
- Citi Eurozone Economic Surprise Index -32.90 +1.4 points
- Citi Emerging Markets Economic Surprise Index -2.70 -.7 point
- 10-Year TIPS Spread 2.10 -1.0 basis point
- 88.0% chance of Fed rate hike at Nov. 8th meeting, 95.2% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -218 open in Japan
- China A50 Futures: Indicating -98 open in China
- DAX Futures: Indicating -27 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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