Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.92 +6.1%
- Euro/Yen Carry Return Index 120.47 +.52%
- Emerging Markets Currency Volatility(VXY) 10.19 -.29%
- S&P 500 Implied Correlation 47.89 +3.86%
- ISE Sentiment Index 42.0 -51.15%
- Total Put/Call 1.15 +18.6%
- NYSE Arms 1.87 +72.93%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.34 +1.36%
- America Energy Sector High-Yield CDS Index 691.0 +2.13%
- European Financial Sector CDS Index 90.23 +2.54%
- Western Europe Sovereign Debt CDS Index 24.07 -5.4%
- Asia Pacific Sovereign Debt CDS Index 38.38 -8.84%
- Emerging Market CDS Index 246.68 -.38%
- iBoxx Offshore RMB China Corporate High Yield Index 131.48 -.25%
- 2-Year Swap Spread 25.0 +.5 basis point
- TED Spread 51.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.26 -.16%
- 3-Month T-Bill Yield .32% unch.
- Yield Curve 78.0 +1.0 basis point
- China Import Iron Ore Spot $58.97/Metric Tonne -.57%
- Citi US Economic Surprise Index 13.5 +1.4 points
- Citi Eurozone Economic Surprise Index -3.1 -9.1 points
- Citi Emerging Markets Economic Surprise Index -7.9 -2.0 points
- 10-Year TIPS Spread 1.47% unch.
- 40.1% chance of Fed rate hike at Nov. 2 meeting, 60.2% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -3 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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