Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.99 -7.7%
- Euro/Yen Carry Return Index 122.58 +.53%
- Emerging Markets Currency Volatility(VXY) 8.5 -1.05%
- S&P 500 Implied Correlation 39.5 -6.5%
- ISE Sentiment Index 80.0 -10.1%
- Total Put/Call .81 -16.5%
- NYSE Arms .77 +35.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.28 -3.56%
- America Energy Sector High-Yield CDS Index 423.0 -2.56%
- European Financial Sector CDS Index 58.70 -3.64%
- Italian/German 10Y Yld Spread 153.75 +5.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 59.46 -4.78%
- Emerging Market CDS Index 200.04 -1.50%
- iBoxx Offshore RMB China Corporate High Yield Index 165.14 -.05%
- 2-Year Swap Spread -2.0 -1.25 basis points
- TED Spread 16.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.5 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.61 +.11%
- 3-Month T-Bill Yield 1.96% +2.0 basis points
- Yield Curve .03 +2.0 basis points
- China Iron Ore Spot 87.33 USD/Metric Tonne +.41%
- Citi US Economic Surprise Index 7.7 +15.4 points
- Citi Eurozone Economic Surprise Index -34.30 -2.5 points
- Citi Emerging Markets Economic Surprise Index -14.6 -1.1 points
- 10-Year TIPS Spread 1.55+4.0 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 +95 open in Japan
- China A50 Futures: Indicating +100 open in China
- DAX Futures: Indicating -6 open in Germany
Portfolio:
- Higher: On gains in my retail/industrial/tech/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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