Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.4 +4.9%
- Bloomberg Global Risk On/Risk Off Index 568.0 -45.0 points
- Euro/Yen Carry Return Index 130.63 +.54%
- Emerging Markets Currency Volatility(VXY) 11.13 -.45%
- S&P 500 Implied Correlation 38.48 +1.29%
- ISE Sentiment Index 102.0 -28.0 points
- Total Put/Call .61 -6.15%
- NYSE Arms .83 -23.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.28 +.94%
- US Energy High-Yield OAS 761.09 -.61%
- European Financial Sector CDS Index 60.30 -1.69%
- Italian/German 10Y Yld Spread 143.25 -1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 62.29 +.37%
- Emerging Market CDS Index 181.22 +.98%
- iBoxx Offshore RMB China Corporate High Yield Index 177.51 +.01%
- 2-Year Swap Spread 8.75 +.75 basis point
- TED Spread 16.0 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.5 -1.5 basis points
- MBS 5/10 Treasury Spread 90.25 unch.
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.18 +.15%
- 3-Month T-Bill Yield .10% unch.
- Yield Curve 53.0 -2.0 basis points
- China Iron Ore Spot 118.0 USD/Metric Tonne -1.20%
- Citi US Economic Surprise Index 242.80 +4.7 points
- Citi Eurozone Economic Surprise Index 146.0 +2.3 points
- Citi Emerging Markets Economic Surprise Index 24.6 -.3 point
- 10-Year TIPS Spread 1.74 +1.0 basis point
- 100.0% chance of no change at Nov. 5th meeting, 100.0% chance of no change at Dec. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +12 open in Japan
- China A50 Futures: Indicating -26 open in China
- DAX Futures: Indicating -25 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial/consumer staple/biotech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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