Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.8 +5.4%
- Euro/Yen Carry Return Index 122.99 +.45%
- Emerging Markets Currency Volatility(VXY) 8.20 -.61%
- S&P 500 Implied Correlation 37.20 -1.35%
- ISE Sentiment Index 89.0 +15.6%
- Total Put/Call .93 +2.2%
- NYSE Arms .66 -48.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.44 -.06%
- America Energy Sector High-Yield CDS Index 418.0 +.12%
- European Financial Sector CDS Index 57.72 +1.62%
- Italian/German 10Y Yld Spread 152.75 +1.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 58.06 -.94%
- Emerging Market CDS Index 198.49 +.48%
- iBoxx Offshore RMB China Corporate High Yield Index 165.30 +.05%
- 2-Year Swap Spread 0.0 -3.75 basis points
- TED Spread 15.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.75 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.71 -.09%
- 3-Month T-Bill Yield 1.95% unch.
- Yield Curve .03 -1.0 basis point
- China Iron Ore Spot 88.84 USD/Metric Tonne +2.88%
- Citi US Economic Surprise Index 7.6 +2.2 points
- Citi Eurozone Economic Surprise Index -34.10 +2.8 points
- Citi Emerging Markets Economic Surprise Index -16.2 -1.4 points
- 10-Year TIPS Spread 1.57 +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 -108 open in Japan
- China A50 Futures: Indicating +24 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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