Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.0 -2.6%
- Euro/Yen Carry Return Index 134.42 +.37%
- Emerging Markets Currency Volatility(VXY) 10.28 +.59%
- S&P 500 Implied Correlation 28.33 -4.6%
- ISE Sentiment Index 95.0 -5.9%
- Total Put/Call .89 unch.
- NYSE Arms .93 -19.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.98 -1.32%
- America Energy Sector High-Yield CDS Index 359.0 -.50%
- European Financial Sector CDS Index 76.74 -3.18%
- Italian/German 10Y Yld Spread 246.0 -5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.10 -6.14%
- Emerging Market CDS Index 173.10 +.60%
- iBoxx Offshore RMB China Corporate High Yield Index 150.30 -.07%
- 2-Year Swap Spread 20.75 -.75 basis point
- TED Spread 30.25 -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -6.75 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.21 +.34%
- 3-Month T-Bill Yield 2.04% +3.0 basis points
- Yield Curve 30.25 +1.5 basis points
- China Iron Ore Spot 69.77 USD/Metric Tonne +.24%
- Citi US Economic Surprise Index -13.0 +.9 point
- Citi Eurozone Economic Surprise Index -35.70 -.4 point
- Citi Emerging Markets Economic Surprise Index -2.80 -.3 point
- 10-Year TIPS Spread 2.13 +1.0 basis point
- 92.5% chance of Fed rate hike at Nov. 8th meeting, 97.8% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +33 open in Japan
- China A50 Futures: Indicating +89 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/industrial/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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