Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 +8.5%
- Euro/Yen Carry Return Index 134.69 -.99%
- Emerging Markets Currency Volatility(VXY) 12.70 +4.44%
- S&P 500 Implied Correlation 31.53 +3.6%
- ISE Sentiment Index 95.0 +13.1%
- Total Put/Call .83 -1.19%
- NYSE Arms 1.81 +83.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.53 +3.29%
- America Energy Sector High-Yield CDS Index 405.0 +1.55%
- European Financial Sector CDS Index 83.45 +3.56%
- Italian/German 10Y Yld Spread 287.0 +15.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.5 +1.70%
- Emerging Market CDS Index 230.57 +7.18%
- iBoxx Offshore RMB China Corporate High Yield Index 151.28 +.02%
- 2-Year Swap Spread 18.5 +1.0 basis point
- TED Spread 20.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.55 -1.02%
- 3-Month T-Bill Yield 2.10% -2.0 basis points
- Yield Curve 20.75 unch.
- China Iron Ore Spot 66.11 USD/Metric Tonne +1.71%
- Citi US Economic Surprise Index -18.40 -.5 point
- Citi Eurozone Economic Surprise Index 2.90 -.8 point
- Citi Emerging Markets Economic Surprise Index -11.0 -.7 point
- 10-Year TIPS Spread 2.11 -1.0 basis point
- 94.8% chance of Fed rate hike at Nov. 8th meeting, 98.2% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -184 open in Japan
- China A50 Futures: Indicating -135 open in China
- DAX Futures: Indicating -39 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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