- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.0 +2.0%
- Euro/Yen Carry Return Index 130.09 -.10%
- Emerging Markets Currency Volatility(VXY) 11.45 +2.1%
- S&P 500 Implied Correlation 45.54 +.24%
- ISE Sentiment Index 89.0 -16.0 points
- Total Put/Call .76 +2.7%
- NYSE Arms 1.30 +23.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.09 +.82%
- US Energy High-Yield OAS 779.86 +.49%
- European Financial Sector CDS Index 65.83 +1.45%
- Italian/German 10Y Yld Spread 140.25 +1.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.02 +1.33%
- Emerging Market CDS Index 187.19 +1.11%
- iBoxx Offshore RMB China Corporate High Yield Index 177.23 +.01%
- 2-Year Swap Spread 7.75 +.25 basis point
- TED Spread 16.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap .75 +1.75 basis points
- MBS 5/10 Treasury Spread 88.5 +1.0 basis points
- IHS Markit CMBX BBB- 6 68.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.20 -.30%
- 3-Month T-Bill Yield .9% unch.
- Yield Curve 50.75 -1.5 basis points
- China Iron Ore Spot 123.75 USD/Metric Tonne -1.2%
- Citi US Economic Surprise Index 249.6 -3.5 points
- Citi Eurozone Economic Surprise Index 182.20 -.8 point
- Citi Emerging Markets Economic Surprise Index 23.4 +3.2 points
- 10-Year TIPS Spread 1.63 -4.0 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 +90 open in Japan
- China A50 Futures: Indicating +50 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Higher: On gains in my tech/medical sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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