Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.5 -4.56%
- Euro/Yen Carry Return Index 118.74 +.44%
- Emerging Markets Currency Volatility(VXY) 10.15 +.79%
- S&P 500 Implied Correlation 43.61 -1.52%
- ISE Sentiment Index 60.0 +5.26%
- Total Put/Call .97 +12.79%
- NYSE Arms .49 -61.83%
Credit Investor Angst:
- North American Investment Grade CDS Index 71.01 -1.5%
- America Energy Sector High-Yield CDS Index 711.0 -1.25%
- European Financial Sector CDS Index 86.63 -1.69%
- Western Europe Sovereign Debt CDS Index 22.99 -7.58%
- Asia Pacific Sovereign Debt CDS Index 43.82 -.49%
- Emerging Market CDS Index 240.84 -1.42%
- iBoxx Offshore RMB China Corporate High Yield Index 131.66 -.11%
- 2-Year Swap Spread 25.0 -2.75 basis points
- TED Spread 53.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -42.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.69 +.14%
- 3-Month T-Bill Yield .28% unch.
- Yield Curve 82.0 -1.0 basis point
- China Import Iron Ore Spot $59.36/Metric Tonne -2.01%
- Citi US Economic Surprise Index 16.80 -.6 point
- Citi Eurozone Economic Surprise Index 27.8 -.1 point
- Citi Emerging Markets Economic Surprise Index 6.40 +2.7 points
- 10-Year TIPS Spread 1.48% +2.0 basis points
- 25.6% chance of Fed rate hike at Nov. 2 meeting, 49.3% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +160 open in Japan
- China A50 Futures: Indicating +41 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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