Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.46 -2.88%
- Euro/Yen Carry Return Index 137.55 -.19%
- Emerging Markets Currency Volatility(VXY) 11.58 -.52%
- S&P 500 Implied Correlation 33.83 +1.32%
- ISE Sentiment Index 85.0 -57.7%
- Total Put/Call .92 +5.8%
- NYSE Arms .89 +70.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.62 +.92%
- America Energy Sector High-Yield CDS Index 403.0 +2.25%
- European Financial Sector CDS Index 78.58 -.20%
- Italian/German 10Y Yld Spread 236.75 -4.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.31 -16.50%
- Emerging Market CDS Index 199.10 -.12%
- iBoxx Offshore RMB China Corporate High Yield Index 150.61 +.17%
- 2-Year Swap Spread 17.25 -1.5 basis points
- TED Spread 20.0 +2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.56 -.11%
- 3-Month T-Bill Yield 2.16% unch.
- Yield Curve 26.25 -.5 basis point
- China Iron Ore Spot 68.86 USD/Metric Tonne unch.
- Citi US Economic Surprise Index -2.8 +2.3 points
- Citi Eurozone Economic Surprise Index -26.50 -5.8 points
- Citi Emerging Markets Economic Surprise Index -9.8 -.3 point
- 10-Year TIPS Spread 2.15 unch.
- 100.0% chance of Fed rate hike at Nov. 8th meeting, 100.0% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -59 open in Japan
- China A50 Futures: Indicating +20 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/retail/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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