Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.24 -9.63%
- Euro/Yen Carry Return Index 131.09 +.29%
- Emerging Markets Currency Volatility(VXY) 12.27 -2.0%
- S&P 500 Implied Correlation 31.24 -7.51%
- ISE Sentiment Index 108.0 -12.2%
- Total Put/Call .93 -19.13%
- NYSE Arms 1.30 -13.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.76 -.76%
- America Energy Sector High-Yield CDS Index 406.0 +2.02%
- European Financial Sector CDS Index 85.68 -3.86%
- Italian/German 10Y Yld Spread 279.75 -6.75 basis points
- Asia Pacific Sovereign Debt CDS Index 11.08 +4.93%
- Emerging Market CDS Index 204.0 -3.16%
- iBoxx Offshore RMB China Corporate High Yield Index 151.04 +.10%
- 2-Year Swap Spread 20.25 +1.25 basis points
- TED Spread 25.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.72 +.40%
- 3-Month T-Bill Yield 2.06% unch.
- Yield Curve 25.25 +.25 basis point
- China Iron Ore Spot 66.56 USD/Metric Tonne -.36%
- Citi US Economic Surprise Index -13.30 -7.1 points
- Citi Eurozone Economic Surprise Index -17.50 +1.1 points
- Citi Emerging Markets Economic Surprise Index -8.30 -1.0 point
- 10-Year TIPS Spread 2.09 unch.
- 92.3% chance of Fed rate hike at Nov. 8th meeting, 97.9% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +113 open in Japan
- China A50 Futures: Indicating +63 open in China
- DAX Futures: Indicating -8 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/retail/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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