Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.3 +1.4%
- Euro/Yen Carry Return Index 135.42 +.35%
- Emerging Markets Currency Volatility(VXY) 12.21 -2.63%
- S&P 500 Implied Correlation 29.66 +12.6%
- ISE Sentiment Index 115.0 +27.8%
- Total Put/Call .80 +11.11%
- NYSE Arms 1.29 +120.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.64 -.37%
- America Energy Sector High-Yield CDS Index 395.0 -.30%
- European Financial Sector CDS Index 80.30 -.07%
- Italian/German 10Y Yld Spread 280.75 +2.75 basis points
- Asia Pacific Sovereign Debt CDS Index 10.29 -2.47%
- Emerging Market CDS Index 207.74 +.89%
- iBoxx Offshore RMB China Corporate High Yield Index 151.21 +.02%
- 2-Year Swap Spread 17.5 -.75 basis point
- TED Spread 20.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.62 -.40%
- 3-Month T-Bill Yield 2.11% +1.0 basis point
- Yield Curve 21.50 +1.0 basis point
- China Iron Ore Spot 66.05 USD/Metric Tonne unch.
- Citi US Economic Surprise Index -20.10 +.8 point
- Citi Eurozone Economic Surprise Index 3.60 -1.6 points
- Citi Emerging Markets Economic Surprise Index -10.30 -.8 point
- 10-Year TIPS Spread 2.12 +1.0 basis point
- 94.8% chance of Fed rate hike at Nov. 8th meeting, 98.5% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +7 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail/medical/biotech sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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