Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 19.0 -10.5%
- Euro/Yen Carry Return Index 122.46 +.04%
- Emerging Markets Currency Volatility(VXY) 8.78 -1.24%
- S&P 500 Implied Correlation 47.58 -3.7%
- ISE Sentiment Index 92.0 +13.6%
- Total Put/Call 1.10 -5.2%
- NYSE Arms .50 -64.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.05 -4.79%
- America Energy Sector High-Yield CDS Index 428.0 +1.11%
- European Financial Sector CDS Index 68.10 -5.37%
- Italian/German 10Y Yld Spread 208.0 +3.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 68.76 -3.0%
- Emerging Market CDS Index 204.24 -2.4%
- iBoxx Offshore RMB China Corporate High Yield Index 164.64 -.01%
- 2-Year Swap Spread 1.75 +.75 basis point
- TED Spread 23.0 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 +4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.75 +.17%
- 3-Month T-Bill Yield 1.87% -2.0 basis points
- Yield Curve 6.0 +2.75 basis points
- China Iron Ore Spot 87.85 USD/Metric Tonne +1.19%
- Citi US Economic Surprise Index -17.6 -4.9 points
- Citi Eurozone Economic Surprise Index -63.60 +.5 point
- Citi Emerging Markets Economic Surprise Index -23.3 -2.3 points
- 10-Year TIPS Spread 1.55 unch.
- 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +122 open in Japan
- China A50 Futures: Indicating -2 open in China
- DAX Futures: Indicating -20 open in Germany
Portfolio:
- Higher: On gains in my retail/industrial/biotech/medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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