Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.2 -.41%
- Euro/Yen Carry Return Index 133.55 +.12%
- Emerging Markets Currency Volatility(VXY) 12.29 +2.42%
- S&P 500 Implied Correlation 30.64 +8.4%
- ISE Sentiment Index 77.0 -31.25%
- Total Put/Call 1.07 +11.5%
- NYSE Arms 1.33 +11.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.20 +.67%
- America Energy Sector High-Yield CDS Index 399.0 -.57%
- European Financial Sector CDS Index 82.32 +1.99%
- Italian/German 10Y Yld Spread 274.75 +3.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.63 +.14%
- Emerging Market CDS Index 208.80 +2.39%
- iBoxx Offshore RMB China Corporate High Yield Index 151.0 +.02%
- 2-Year Swap Spread 18.5 -.75 basis point
- TED Spread 24.25 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.25 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.37 -.81%
- 3-Month T-Bill Yield 2.07% unch.
- Yield Curve 21.0 -2.0 basis points
- China Iron Ore Spot 66.59 USD/Metric Tonne +.27%
- Citi US Economic Surprise Index -20.20 -2.9 points
- Citi Eurozone Economic Surprise Index -5.60 +3.1 points
- Citi Emerging Markets Economic Surprise Index -8.60 +1.2 points
- 10-Year TIPS Spread 2.09 +1.0 basis point
- 92.5% chance of Fed rate hike at Nov. 8th meeting, 97.4% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +85 open in Japan
- China A50 Futures: Indicating -55 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/medical sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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