Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.5 -.09%
- Euro/Yen Carry Return Index 130.15 -.16%
- Emerging Markets Currency Volatility(VXY) 11.22 +.27%
- S&P 500 Implied Correlation 43.2 -.78%
- ISE Sentiment Index 105.0 +34.0 points
- Total Put/Call .64 -9.9%
- NYSE Arms 1.07 -18.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.79 +.80%
- US Energy High-Yield OAS 776.44 +.39%
- European Financial Sector CDS Index 64.86 -.27%
- Italian/German 10Y Yld Spread 139.0 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 64.24 -.80%
- Emerging Market CDS Index 182.08 -2.41%
- iBoxx Offshore RMB China Corporate High Yield Index 177.20 +.05%
- 2-Year Swap Spread 7.5 +.25 basis point
- TED Spread 17.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -1.0 +1.0 basis point
- MBS 5/10 Treasury Spread 87.5 -3.25 basis points
- IHS Markit CMBX BBB- 6 68.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.43 +.09%
- 3-Month T-Bill Yield .9% -1.0 basis point
- Yield Curve 52.25 +1.75 basis points
- China Iron Ore Spot 124.90 USD/Metric Tonne +.48%
- 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 1.67 -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 +20 open in Japan
- China A50 Futures: Indicating -75 open in China
- DAX Futures: Indicating -38 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech/consumer staple sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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