Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.0 -3.3%
- Euro/Yen Carry Return Index 134.40 +.56%
- Emerging Markets Currency Volatility(VXY) 12.35 +.73%
- S&P 500 Implied Correlation 29.89 -3.95%
- ISE Sentiment Index 119.0 +29.35%
- Total Put/Call .92 -8.91%
- NYSE Arms .90 -36.34%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.89 -.93%
- America Energy Sector High-Yield CDS Index 400.0 +.28%
- European Financial Sector CDS Index 80.52 -2.19%
- Italian/German 10Y Yld Spread 280.75 +6.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.58 -.56%
- Emerging Market CDS Index 207.41 -1.71%
- iBoxx Offshore RMB China Corporate High Yield Index 151.07 +.05%
- 2-Year Swap Spread 18.0 -.5 basis point
- TED Spread 22.25 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.84 +.61%
- 3-Month T-Bill Yield 2.09% +2.0 basis points
- Yield Curve 20.0 -1.0 basis point
- China Iron Ore Spot 66.93 USD/Metric Tonne +1.01%
- Citi US Economic Surprise Index -19.20 +1.0 point
- Citi Eurozone Economic Surprise Index -5.0 +.6 point
- Citi Emerging Markets Economic Surprise Index -9.70 -1.1 points
- 10-Year TIPS Spread 2.09 unch.
- 94.6% chance of Fed rate hike at Nov. 8th meeting, 98.2% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +34 open in Japan
- China A50 Futures: Indicating +70 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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