Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.94 -3.16%
- Euro/Yen Carry Return Index 135.34 +.45%
- Emerging Markets Currency Volatility(VXY) 7.72 -1.03%
- S&P 500 Implied Correlation 32.75 -1.89%
- ISE Sentiment Index 64.0 unch.
- Total Put/Call .95 +13.1%
- NYSE Arms .88 -23.14%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.64 -.45%
- America Energy Sector High-Yield CDS Index 447.0 +.15%
- European Financial Sector CDS Index 53.64 -.29%
- Western Europe Sovereign Debt CDS Index 5.50 +1.38%
- Asia Pacific Sovereign Debt CDS Index 22.30 -2.56%
- Emerging Market CDS Index 188.59 -1.04%
- iBoxx Offshore RMB China Corporate High Yield Index 140.94 -.05%
- 2-Year Swap Spread 25.50 unch.
- TED Spread 30.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -28.0 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.56 -.12%
- 3-Month T-Bill Yield 1.02% unch.
- Yield Curve 92.0 +2.0 basis points
- China Import Iron Ore Spot $73.68/Metric Tonne -1.38%
- Citi US Economic Surprise Index -25.80 +9.6 points
- Citi Eurozone Economic Surprise Index 10.10 -2.1 points
- Citi Emerging Markets Economic Surprise Index 15.30 +.9 basis point
- 10-Year TIPS Spread 1.79 +1.0 basis point
- 17.6% chance of Fed rate hike at Nov. 1 meeting, 48.8% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -12 open in Japan
- China A50 Futures: Indicating -25 open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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