Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.6 -.7%
- Euro/Yen Carry Return Index 124.30 +.62%
- Emerging Markets Currency Volatility(VXY) 8.24 +1.48%
- S&P 500 Implied Correlation 37.2 +2.6%
- ISE Sentiment Index 89.0 unch.
- Total Put/Call .76 -36.1%
- NYSE Arms 1.78 +114.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.74 +1.75%
- America Energy Sector High-Yield CDS Index 357.0 -7.39%
- European Financial Sector CDS Index 58.54 +3.11%
- Italian/German 10Y Yld Spread 139.5 +7.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 55.10 -1.15%
- Emerging Market CDS Index 205.20 +.74%
- iBoxx Offshore RMB China Corporate High Yield Index 165.49 -.04%
- 2-Year Swap Spread -1.75 -3.5 basis points
- TED Spread 15.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 +6.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.87 -.07%
- 3-Month T-Bill Yield 1.98% -1.0 basis point
- Yield Curve .08 -2.0 basis points
- China Iron Ore Spot 93.27 USD/Metric Tonne -1.04%
- Citi US Economic Surprise Index 26.10 +7.5 points
- Citi Eurozone Economic Surprise Index -26.10 +7.8 points
- Citi Emerging Markets Economic Surprise Index -8.4 +.6 point
- 10-Year TIPS Spread 1.66 -2.0 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 -126 open in Japan
- China A50 Futures: Indicating +38 open in China
- DAX Futures: Indicating +9 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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