Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing Inline
Equity Investor Angst:
- Volatility(VIX) 17.7 +8.4%
- Bloomberg Global Risk On/Risk Off Index 2,970.0 -112.0 points
- Euro/Yen Carry Return Index 133.83 -.40%
- Emerging Markets Currency Volatility(VXY) 8.63 -.69%
- S&P 500 Implied Correlation 50.8 +4.6%
- ISE Sentiment Index 87.0 -20.0 points
- Total Put/Call .86 +4.88%
- NYSE Arms 1.12 +3.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 49.15 +1.5%
- US Energy High-Yield OAS 402.07 +2.9%
- European Financial Sector CDS Index 54.69 +1.2%
- Italian/German 10Y Yld Spread 105.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 85.20 -2.67%
- Emerging Market CDS Index 161.44 +1.08%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.02 +.04%
- 2-Year Swap Spread 7.75 unch.
- TED Spread 8.0 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +.5 basis point
- MBS 5/10 Treasury Spread 70.5 +.75 basis point
- IHS Markit CMBX BBB- 6 73.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.97 -.32%
- 3-Month T-Bill Yield .04% -1.0 basis point
- Yield Curve 111.0 unch.
- China Iron Ore Spot 212.20 USD/Metric Tonne -.59%
- Citi US Economic Surprise Index 26.8 +4.1 points
- Citi Eurozone Economic Surprise Index 75.70 -1.6 points
- Citi Emerging Markets Economic Surprise Index 62.5 +3.4 points
- 10-Year TIPS Spread 2.31 -4.0 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 -249 open in Japan
- China A50 Futures: Indicating -100 open in China
- DAX Futures: Indicating -35 open in Germany
Portfolio:
- Slightly Lower: On losses in my commodity/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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