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) 14.9 -1.78%
- Euro/Yen Carry Return Index 123.18 -.10%
- Emerging Markets Currency Volatility(VXY) 8.25 -.24%
- S&P 500 Implied Correlation 36.8 +2.51%
- ISE Sentiment Index 109.0 +12.4%
- Total Put/Call .73 -12.0%
- NYSE Arms .95 +20.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.12 -1.76%
- America Energy Sector High-Yield CDS Index 386.0 -4.22%
- European Financial Sector CDS Index 57.72 -.66%
- Italian/German 10Y Yld Spread 153.5 -3.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 57.60 -.63%
- Emerging Market CDS Index 200.35 -.56%
- iBoxx Offshore RMB China Corporate High Yield Index 165.29 -.03%
- 2-Year Swap Spread -1.25 +.25 basis point
- TED Spread 19.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 +2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.69 -.11%
- 3-Month T-Bill Yield 1.95% +1.0 basis point
- Yield Curve .05 unch.
- China Iron Ore Spot 91.10 USD/Metric Tonne +5.46%
- Citi US Economic Surprise Index 7.0 unch.
- Citi Eurozone Economic Surprise Index -36.80 +.4 point
- Citi Emerging Markets Economic Surprise Index -11.1 +4.5 points
- 10-Year TIPS Spread 1.60 +1.0 basis point
- 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 -112 open in Japan
- China A50 Futures: Indicating +63 open in China
- DAX Futures: Indicating +16 open in Germany
Portfolio:
- Higher: On gains in my retail/industrial/biotech/tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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