- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.5 +.5%
- Euro/Yen Carry Return Index 130.41 unch.
- Emerging Markets Currency Volatility(VXY) 11.19 -.09%
- S&P 500 Implied Correlation 43.8 +1.3%
- ISE Sentiment Index 71.0 -34.0 points
- Total Put/Call .65 -12.2%
- NYSE Arms 1.09 -24.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.26 -.72%
- US Energy High-Yield OAS 774.50 +.31%
- European Financial Sector CDS Index 65.02 +.71%
- Italian/German 10Y Yld Spread 138.5 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.93 -.66%
- Emerging Market CDS Index 186.27 -1.73%
- iBoxx Offshore RMB China Corporate High Yield Index 177.12 +.02%
- 2-Year Swap Spread 7.25 -.75 basis point
- TED Spread 17.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -1.25 basis points
- MBS 5/10 Treasury Spread 90.75 -.25 basis point
- IHS Markit CMBX BBB- 6 68.75 +.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.37 +.38%
- 3-Month T-Bill Yield .10% +1.0 basis point
- Yield Curve 52.25 -.75 basis point
- China Iron Ore Spot 122.10 USD/Metric Tonne +3.1%
- Citi US Economic Surprise Index 253.1 +13.8 points
- Citi Eurozone Economic Surprise Index 183.0 -7.2 points
- Citi Emerging Markets Economic Surprise Index 20.2 +.8 point
- 10-Year TIPS Spread 1.68 +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 +29 open in Japan
- China A50 Futures: Indicating -90 open in China
- DAX Futures: Indicating -8 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/tech/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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