Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.6 +.09%
- Euro/Yen Carry Return Index 137.01 +.32%
- Emerging Markets Currency Volatility(VXY) 7.67 -.13%
- S&P 500 Implied Correlation 27.07 -3.29%
- ISE Sentiment Index 153.0 unch.
- Total Put/Call .86 +2.38%
- NYSE Arms .66 +1.94%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.09 -.78%
- America Energy Sector High-Yield CDS Index 426.0 -2.08%
- European Financial Sector CDS Index 49.25 -1.01%
- Western Europe Sovereign Debt CDS Index 5.15 -2.74%
- Asia Pacific Sovereign Debt CDS Index 17.97 +.14%
- Emerging Market CDS Index 173.32 -1.07%
- iBoxx Offshore RMB China Corporate High Yield Index 141.81 +.05%
- 2-Year Swap Spread 23.75 unch.
- TED Spread 28.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -23.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.61 -.37%
- 3-Month T-Bill Yield 1.03% -1.0 basis point
- Yield Curve 84.0 +1.0 basis point
- China Import Iron Ore Spot $76.56/Metric Tonne +.25%
- Citi US Economic Surprise Index -8.50 +2.7 points
- Citi Eurozone Economic Surprise Index 18.70 -.4 point
- Citi Emerging Markets Economic Surprise Index 19.20 -.9 basis point
- 10-Year TIPS Spread 1.85 unch.
- 13.8% chance of Fed rate hike at Nov. 1 meeting, 44.8% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -80 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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