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) 23.8 -2.7%
- Bloomberg Global Risk On/Risk Off Index 555.0 +77.0 points
- Euro/Yen Carry Return Index 129.86 -.53%
- Emerging Markets Currency Volatility(VXY) 11.03 -.63%
- S&P 500 Implied Correlation 37.4 -1.7%
- ISE Sentiment Index 124.0 +22.0 points
- Total Put/Call .66 +6.5%
- NYSE Arms .66 -22.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.12 -.63%
- US Energy High-Yield OAS 760.65 +.25%
- European Financial Sector CDS Index 61.30 +1.66%
- Italian/German 10Y Yld Spread 143.5 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 62.07 -.08%
- Emerging Market CDS Index 175.25 -2.9%
- iBoxx Offshore RMB China Corporate High Yield Index 177.58 +.04%
- 2-Year Swap Spread 9.0 +.25 basis point
- TED Spread 16.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -4.5 -1.0 basis point
- MBS 5/10 Treasury Spread 93.5 +3.25 basis points
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.83 +1.12%
- 3-Month T-Bill Yield .10% unch.
- Yield Curve 61.5 +8.5 basis points
- China Iron Ore Spot 119.70 USD/Metric Tonne +2.1%
- Citi US Economic Surprise Index 242.50 -.3 point
- Citi Eurozone Economic Surprise Index 151.9 +5.9 points
- Citi Emerging Markets Economic Surprise Index 25.0 +.4 point
- 10-Year TIPS Spread 1.77 +3.0 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 -12 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/consumer staple/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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