Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.34 +3.35%
- Euro/Yen Carry Return Index 120.37 +.77%
- Emerging Markets Currency Volatility(VXY) 9.58 +.21%
- S&P 500 Implied Correlation 43.52 +4.99%
- ISE Sentiment Index 97.0 -10.19%
- Total Put/Call .98 +12.64%
- NYSE Arms .75 -36.33%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.02 +.54%
- America Energy Sector High-Yield CDS Index 680.0 +1.34%
- European Financial Sector CDS Index 85.05 +2.19%
- Western Europe Sovereign Debt CDS Index 24.41 -.43%
- Asia Pacific Sovereign Debt CDS Index 35.75 +.82%
- Emerging Market CDS Index 233.11 +.82%
- iBoxx Offshore RMB China Corporate High Yield Index 131.62 -.02%
- 2-Year Swap Spread 26.0 -.25 basis point
- TED Spread 51.0 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -28.0 +4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.34 -.10%
- 3-Month T-Bill Yield .34% unch.
- Yield Curve 84.0 +4.0 basis points
- China Import Iron Ore Spot $58.14/Metric Tonne -.55%
- Citi US Economic Surprise Index -4.8 +.9 point
- Citi Eurozone Economic Surprise Index -14.1 -.2 point
- Citi Emerging Markets Economic Surprise Index -10.0 -2.5 points
- 10-Year TIPS Spread 1.54% +3.0 basis points
- 32.6% chance of Fed rate hike at Nov. 2 meeting, 57.9% chance at Dec. 14 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -38 open in Japan
- China A50 Futures: Indicating +21 open in China
- DAX Futures: Indicating -23 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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