Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.3 +8.6%
- Euro/Yen Carry Return Index 131.26 -.33%
- Emerging Markets Currency Volatility(VXY) 12.87 +5.93%
- S&P 500 Implied Correlation 33.23 +5.4%
- ISE Sentiment Index 140.0 +53.9%
- Total Put/Call 1.09 -9.17%
- NYSE Arms 1.70 +24.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.04 +2.70%
- America Energy Sector High-Yield CDS Index 379.0 +2.44%
- European Financial Sector CDS Index 88.55 +2.97%
- Italian/German 10Y Yld Spread 279.0 +11.25 basis points
- Asia Pacific Sovereign Debt CDS Index 10.87 +2.74%
- Emerging Market CDS Index 221.28 +11.43%
- iBoxx Offshore RMB China Corporate High Yield Index 150.75 -.05%
- 2-Year Swap Spread 18.75 -.5 basis point
- TED Spread 27.75 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.28 -1.04%
- 3-Month T-Bill Yield 2.03%-1.0 basis point
- Yield Curve 26.50 +.5 basis point
- China Iron Ore Spot 69.12 USD/Metric Tonne +.14%
- Citi US Economic Surprise Index -11.20 +.7 point
- Citi Eurozone Economic Surprise Index -30.0 +2.9 points
- Citi Emerging Markets Economic Surprise Index -2.70 -.7 point
- 10-Year TIPS Spread 2.10 unch.
- 90.3% chance of Fed rate hike at Nov. 8th meeting, 96.1% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +213 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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