Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 17.2 +1.1%
- Bloomberg Global Risk On/Risk Off Index 2,943.0 -64.0 points
- Euro/Yen Carry Return Index 134.28 +.26%
- Emerging Markets Currency Volatility(VXY) 8.46 -.94%
- S&P 500 Implied Correlation 50.0 +1.5%
- ISE Sentiment Index 86.0 -12.0 points
- Total Put/Call .94 +5.6%
- NYSE Arms 1.68 +76.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.63 +.97%
- US Energy High-Yield OAS 407.90 +1.0%
- European Financial Sector CDS Index 54.87 +.33%
- Italian/German 10Y Yld Spread 106.0 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 84.44 -1.0%
- Emerging Market CDS Index 160.36 -.4%
- China Corp. High-Yield Bond USD ETF(KCCB) 38.99 -.05%
- 2-Year Swap Spread 8.0 +.25 basis point
- TED Spread 9.25 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.0 -.25 basis point
- MBS 5/10 Treasury Spread 71.25 +.75 basis point
- IHS Markit CMBX BBB- 6 73.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.14 +.21%
- 3-Month T-Bill Yield .04% unch.
- Yield Curve 109.0 -2.0 basis points
- China Iron Ore Spot 214.0 USD/Metric Tonne +.7%
- Citi US Economic Surprise Index 19.9 -6.9 points
- Citi Eurozone Economic Surprise Index 74.0 -1.7 points
- Citi Emerging Markets Economic Surprise Index 63.7 +1.2 points
- 10-Year TIPS Spread 2.34 +3.0 basis points
- 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -113 open in Japan
- China A50 Futures: Indicating -74 open in China
- DAX Futures: Indicating -27 open in Germany
Portfolio:
- Slightly Lower: On losses in my commodity/tech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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