- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.9 -1.3%
- Euro/Yen Carry Return Index 130.75 -.13%
- Emerging Markets Currency Volatility(VXY) 11.18 +.9%
- S&P 500 Implied Correlation 45.81 +.07%
- ISE Sentiment Index 88.0 -2.0 points
- Total Put/Call .70 +2.94%
- NYSE Arms .87 -28.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.74 +1.36%
- US Energy High-Yield OAS 764.41 +1.09%
- European Financial Sector CDS Index 64.51 +2.7%
- Italian/German 10Y Yld Spread 141.5 +.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 65.61 +.87%
- Emerging Market CDS Index 189.90 +.61%
- iBoxx Offshore RMB China Corporate High Yield Index 176.98 +.06%
- 2-Year Swap Spread 9.0 +1.0 basis point
- TED Spread 18.75 +3.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -.25 -1.0 basis point
- MBS 5/10 Treasury Spread 87.0 +4.0 basis points
- IHS Markit CMBX BBB- 6 68.75 +.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.33 -.15%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 54.5 +4.0 basis points
- China Iron Ore Spot 117.22 USD/Metric Tonne +1.17%
- Citi US Economic Surprise Index 253.3 +3.0 points
- Citi Eurozone Economic Surprise Index 203.40 -3.1 points
- Citi Emerging Markets Economic Surprise Index 17.1 -3.8 points
- 10-Year TIPS Spread 1.66 -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 -139 open in Japan
- China A50 Futures: Indicating -99 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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