Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.4 -5.6%
- Euro/Yen Carry Return Index 136.04 +1.1%
- Emerging Markets Currency Volatility(VXY) 12.11 -1.78%
- S&P 500 Implied Correlation 35.51 -1.25%
- ISE Sentiment Index 95.0 -31.65%
- Total Put/Call .82 unch.
- NYSE Arms 1.18 +60.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.94 -2.4%
- America Energy Sector High-Yield CDS Index 404.0 -.86%
- European Financial Sector CDS Index 67.98 -2.92%
- Italian/German 10Y Yld Spread 252.75 -1.25 basis points
- Asia Pacific Sovereign Debt CDS Index 12.25 -2.93%
- Emerging Market CDS Index 210.60 -5.22%
- iBoxx Offshore RMB China Corporate High Yield Index 151.35 -.14%
- 2-Year Swap Spread 17.75 -.25 basis point
- TED Spread 20.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.5-.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.18 +.91%
- 3-Month T-Bill Yield 2.14% unch.
- Yield Curve 21.25 +.25 basis point
- China Iron Ore Spot 68.27 USD/Metric Tonne -.04%
- Citi US Economic Surprise Index -10.1 -6.8 points
- Citi Eurozone Economic Surprise Index -13.0 -.5 point
- Citi Emerging Markets Economic Surprise Index -7.70 -2.6 points
- 10-Year TIPS Spread 2.10 -2.0 basis points
- 99.8% chance of Fed rate hike at Nov. 8th meeting, 100.0% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +10 open in Japan
- China A50 Futures: Indicating +111 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Higher: On gains in my tech/industrial/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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