Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.4 -5.9%
- Euro/Yen Carry Return Index 134.79 -.57%
- Emerging Markets Currency Volatility(VXY) 10.32 +3.7%
- S&P 500 Implied Correlation 29.95 -3.32%
- ISE Sentiment Index 121.0 +14.2%
- Total Put/Call 1.08 +6.9%
- NYSE Arms 1.11 -2.28%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.83 +.78%
- America Energy Sector High-Yield CDS Index 366.0 +1.20%
- European Financial Sector CDS Index 77.42 +3.59%
- Italian/German 10Y Yld Spread 245.25 +14.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.97 -.99%
- Emerging Market CDS Index 173.87 +.97%
- iBoxx Offshore RMB China Corporate High Yield Index 150.14 +.09%
- 2-Year Swap Spread 22.0 +.25 basis point
- TED Spread 33.50 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.50 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.37 -.57%
- 3-Month T-Bill Yield 2.0% -2.0 basis points
- Yield Curve 32.25 unch.
- China Iron Ore Spot 66.72 USD/Metric Tonne +.48%
- Citi US Economic Surprise Index -2.40 +.4 point
- Citi Eurozone Economic Surprise Index -25.60 +.6 point
- Citi Emerging Markets Economic Surprise Index -11.60 -8.3 points
- 10-Year TIPS Spread 2.13 -1.0 basis point
- 90.3% chance of Fed rate hike at Nov. 8th meeting, 97.1% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +78 open in Japan
- China A50 Futures: Indicating +39 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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