Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.1 -2.9%
- Euro/Yen Carry Return Index 129.89 +.41%
- Emerging Markets Currency Volatility(VXY) 11.0 +.09%
- S&P 500 Implied Correlation 49.1 -2.8%
- ISE Sentiment Index 114 .0 +18.0 points
- Total Put/Call .68 -8.1%
- NYSE Arms .99 +10.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.74 -1.3%
- US Energy High-Yield OAS 815.36 -1.52%
- European Financial Sector CDS Index 64.90 -4.0%
- Italian/German 10Y Yld Spread 150.25 -1.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 68.89 -2.75%
- Emerging Market CDS Index 189.18 -39%
- iBoxx Offshore RMB China Corporate High Yield Index 177.14 +.13%
- 2-Year Swap Spread 7.75 +.25 basis point
- TED Spread 15.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.5 +1.25 basis points
- MBS 5/10 Treasury Spread 81.0 unch.
- IHS Markit CMBX BBB- 6 67.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.92 +.01%
- 3-Month T-Bill Yield .10% +2.0 basis points
- Yield Curve 40.5 +1.25 basis points
- China Iron Ore Spot 114.0 USD/Metric Tonne +1.57%
- Citi US Economic Surprise Index 218.9 -6.5 points
- Citi Eurozone Economic Surprise Index 180.40 -2.4 points
- Citi Emerging Markets Economic Surprise Index -6.2 +1.3 points
- 10-Year TIPS Spread 1.61 +2.0 basis points
- 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 +6 open in Japan
- China A50 Futures: Indicating -64 open in China
- DAX Futures: Indicating -41 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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