Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.2 +4.0%
- Euro/Yen Carry Return Index 133.58 -.23%
- Emerging Markets Currency Volatility(VXY) 12.85 -1.23%
- S&P 500 Implied Correlation 31.37 +1.26%
- ISE Sentiment Index 130.0 +68.8%
- Total Put/Call 1.05 unch.
- NYSE Arms .70 -39.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.84 -.15%
- America Energy Sector High-Yield CDS Index 418.0 -.51%
- European Financial Sector CDS Index 74.97 -3.81%
- Italian/German 10Y Yld Spread 264.75 -5.5 basis points
- Asia Pacific Sovereign Debt CDS Index 12.50 -1.50%
- Emerging Market CDS Index 226.36 -.14%
- iBoxx Offshore RMB China Corporate High Yield Index 151.42 +.01%
- 2-Year Swap Spread 19.0 unch.
- TED Spread 19.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.41 +.35%
- 3-Month T-Bill Yield 2.13% unch.
- Yield Curve 23.75 -.25 basis point
- China Iron Ore Spot 68.05 USD/Metric Tonne +.22%
- Citi US Economic Surprise Index -3.6 +.9 point
- Citi Eurozone Economic Surprise Index -3.9 -4.0 points
- Citi Emerging Markets Economic Surprise Index -6.30 +.2 point
- 10-Year TIPS Spread 2.11 +2.0 basis points
- 96.4% chance of Fed rate hike at Nov. 8th meeting, 98.9% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +68 open in Japan
- China A50 Futures: Indicating -77 open in China
- DAX Futures: Indicating -33 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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