Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.94 -1.97%
- Euro/Yen Carry Return Index 124.32 +.11%
- Emerging Markets Currency Volatility(VXY) 8.09 -.61%
- S&P 500 Implied Correlation 34.84 -.51%
- ISE Sentiment Index 89.0 unch.
- Total Put/Call .81 -3.57%
- NYSE Arms .95 +20.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 50.15 -.11%
- America Energy Sector High-Yield CDS Index 393.0 +.54%
- European Financial Sector CDS Index 55.38 +3.16%
- Italian/German 10Y Yld Spread 133.0 -20.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 55.35 -1.85%
- Emerging Market CDS Index 201.15 +1.45%
- iBoxx Offshore RMB China Corporate High Yield Index 165.36 +.03%
- 2-Year Swap Spread .25 +1.5 basis points
- TED Spread 17.5 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -7.0 +5.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.19 +.14%
- 3-Month T-Bill Yield 1.95% unch.
- Yield Curve .07+2.0 basis points
- China Iron Ore Spot 96.0 USD/Metric Tonne +4.76%
- Citi US Economic Surprise Index 17.40 +10.4 points
- Citi Eurozone Economic Surprise Index -36.50 +.3 point
- Citi Emerging Markets Economic Surprise Index -4.6 +6.6 points
- 10-Year TIPS Spread 1.66 +6.0 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 -73 open in Japan
- China A50 Futures: Indicating +78 open in China
- DAX Futures: Indicating -6 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/industrial/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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