Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.12 -2.02%
- Euro/Yen Carry Return Index 135.50 -.44%
- Emerging Markets Currency Volatility(VXY) 11.97 -1.4%
- S&P 500 Implied Correlation 34.81 -1.89%
- ISE Sentiment Index 116.0 +18.4%
- Total Put/Call .77 -8.3%
- NYSE Arms .91 -15.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.58 -.53%
- America Energy Sector High-Yield CDS Index 400.0 -.41%
- European Financial Sector CDS Index 68.53 +.81%
- Italian/German 10Y Yld Spread 253.25 +.5 basis point
- Asia Pacific Sovereign Debt CDS Index 12.1 -.90%
- Emerging Market CDS Index 206.66 -2.0%
- iBoxx Offshore RMB China Corporate High Yield Index 151.18 -.11%
- 2-Year Swap Spread 17.75 -.25 basis point
- TED Spread 20.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.0 -.23%
- 3-Month T-Bill Yield 2.15% +1.0 basis point
- Yield Curve 21.0 -.25 basis point
- China Iron Ore Spot 68.92 USD/Metric Tonne +.39%
- Citi US Economic Surprise Index -8.5 +1.6 points
- Citi Eurozone Economic Surprise Index -13.60 -.6 point
- Citi Emerging Markets Economic Surprise Index -10.60 -2.9 points
- 10-Year TIPS Spread 2.11 +1.0 basis point
- 97.6% chance of Fed rate hike at Nov. 8th meeting, 99.4% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +16 open in Japan
- China A50 Futures: Indicating -109 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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