Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.8 -.74%
- Euro/Yen Carry Return Index 129.94 +.03%
- Emerging Markets Currency Volatility(VXY) 11.5 +4.4%
- S&P 500 Implied Correlation 48.1 -1.5%
- ISE Sentiment Index 111 .0 -3.0 points
- Total Put/Call .54 -20.6%
- NYSE Arms 1.25 +31.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.69 -.85%
- US Energy High-Yield OAS 815.77 +.06%
- European Financial Sector CDS Index 66.15 +1.94%
- Italian/German 10Y Yld Spread 148.0 -2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.66 -1.75%
- Emerging Market CDS Index 189.44 unch,
- iBoxx Offshore RMB China Corporate High Yield Index 177.07 -.04%
- 2-Year Swap Spread 8.0 +.25 basis point
- TED Spread 15.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.0 -.5 basis point
- MBS 5/10 Treasury Spread 82.0 +1.0 basis point
- IHS Markit CMBX BBB- 6 67.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.92 -.51%
- 3-Month T-Bill Yield .09% -1.0 basis point
- Yield Curve 42.5 +2.0 basis points
- China Iron Ore Spot 114.10 USD/Metric Tonne -.90%
- Citi US Economic Surprise Index 221.9 +2.0 points
- Citi Eurozone Economic Surprise Index 208.40 +28.0 points
- Citi Emerging Markets Economic Surprise Index -7.3 -1.1 points
- 10-Year TIPS Spread 1.62 +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 -43 open in Japan
- China A50 Futures: Indicating -36 open in China
- DAX Futures: Indicating +39 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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