Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 10.76 +12.4%
- Euro/Yen Carry Return Index 135.35 -.57%
- Emerging Markets Currency Volatility(VXY) 7.50 +.4%
- S&P 500 Implied Correlation 28.70 +2.1%
- ISE Sentiment Index 84.0 +25.4%
- Total Put/Call .94 +27.0%
- NYSE Arms .88 -33.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.29 +1.78%
- America Energy Sector High-Yield CDS Index 434.0 +.49%
- European Financial Sector CDS Index 49.58 -1.1%
- Western Europe Sovereign Debt CDS Index 4.29 -12.99%
- Asia Pacific Sovereign Debt CDS Index 19.86 -2.46%
- Emerging Market CDS Index 193.14 +.69%
- iBoxx Offshore RMB China Corporate High Yield Index 140.48 +.07%
- 2-Year Swap Spread 24.5 +.75 basis point
- TED Spread 21.5 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.0 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.85 -.18%
- 3-Month T-Bill Yield 1.10% -2.0 basis points
- Yield Curve 95.0 +2.0 basis points
- China Import Iron Ore Spot $70.20/Metric Tonne -.33%
- Citi US Economic Surprise Index -43.80 +.6 points
- Citi Eurozone Economic Surprise Index 16.10 +2.5 points
- Citi Emerging Markets Economic Surprise Index 16.90 +1.3 basis points
- 10-Year TIPS Spread 1.82 +2.0 basis points
- 17.7% chance of Fed rate hike at Nov. 1 meeting, 47.3% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -59 open in Japan
- China A50 Futures: Indicating +20 open in China
- DAX Futures: Indicating -39 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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