Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.6 -10.4%
- Euro/Yen Carry Return Index 121.89 +.95%
- Emerging Markets Currency Volatility(VXY) 8.61 -2.93%
- S&P 500 Implied Correlation 42.55 -6.1%
- ISE Sentiment Index 87.0 +22.5%
- Total Put/Call .97 -11.0%
- NYSE Arms .58 -55.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.03 -1.99%
- America Energy Sector High-Yield CDS Index 435.0 +1.52%
- European Financial Sector CDS Index 60.92 -5.09%
- Italian/German 10Y Yld Spread 148.5 -9.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 62.09 -3.32%
- Emerging Market CDS Index 203.90 -4.75%
- iBoxx Offshore RMB China Corporate High Yield Index 165.11 +.07%
- 2-Year Swap Spread -.75 unch.
- TED Spread 17.0 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -15.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.50 +.83%
- 3-Month T-Bill Yield 1.94% -1.0 basis point
- Yield Curve .01 unch.
- China Iron Ore Spot 89.88 USD/Metric Tonne +2.29%
- Citi US Economic Surprise Index -7.7 +1.7 points
- Citi Eurozone Economic Surprise Index -31.80 +4.6 points
- Citi Emerging Markets Economic Surprise Index -13.5 +1.6 points
- 10-Year TIPS Spread 1.51 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 +151 open in Japan
- China A50 Futures: Indicating +17 open in China
- DAX Futures: Indicating -6 open in Germany
Portfolio:
- Higher: On gains in my 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 75% Net Long
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