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) 17.8 -8.1%
- Euro/Yen Carry Return Index 122.36 +.24%
- Emerging Markets Currency Volatility(VXY) 9.10 +.66%
- S&P 500 Implied Correlation 43.99 -4.6%
- ISE Sentiment Index 80.0 -7.0%
- Total Put/Call 1.01 -13.7%
- NYSE Arms .82 +57.69%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.80 -2.67%
- America Energy Sector High-Yield CDS Index 421.0 -.89%
- European Financial Sector CDS Index 58.25 -3.78%
- Italian/German 10Y Yld Spread 175.75 -7.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 66.65 +1.05%
- Emerging Market CDS Index 218.29 +1.23%
- iBoxx Offshore RMB China Corporate High Yield Index 164.91 +.05%
- 2-Year Swap Spread -.25 +.5 basis point
- TED Spread 13.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -13.75 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.89 +.07%
- 3-Month T-Bill Yield 1.98% unch.
- Yield Curve -.01 +3.0 basis points
- China Iron Ore Spot 81.30 USD/Metric Tonne +.94%
- Citi US Economic Surprise Index -11.6 +1.0 point
- Citi Eurozone Economic Surprise Index -34.10 +7.2 points
- Citi Emerging Markets Economic Surprise Index -18.1 +1.6 points
- 10-Year TIPS Spread 1.61+5.0 basis points
- 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 +270 open in Japan
- China A50 Futures: Indicating +150 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/retail/industrial/tech 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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