Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.12 +21.2%
- Euro/Yen Carry Return Index 130.53 -.47%
- Emerging Markets Currency Volatility(VXY) 12.74 +4.9%
- S&P 500 Implied Correlation 35.65 +11.9%
- ISE Sentiment Index 115.0 -9.45%
- Total Put/Call 1.15 +25.0%
- NYSE Arms 1.86 +118.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.64 +2.0%
- America Energy Sector High-Yield CDS Index 398.0 +3.12%
- European Financial Sector CDS Index 89.12 +4.22%
- Italian/German 10Y Yld Spread 286.5 +16.25 basis points
- Asia Pacific Sovereign Debt CDS Index 10.55 -.75%
- Emerging Market CDS Index 213.22 +3.96%
- iBoxx Offshore RMB China Corporate High Yield Index 150.89 -.07%
- 2-Year Swap Spread 19.0 -.75 basis point
- TED Spread 25.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.0 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.42 +.17%
- 3-Month T-Bill Yield 2.06% -1.0 basis point
- Yield Curve 25.0 -1.25 basis points
- China Iron Ore Spot 66.69 USD/Metric Tonne -.67%
- Citi US Economic Surprise Index -6.20 +4.2 points
- Citi Eurozone Economic Surprise Index -18.60 +.9 point
- Citi Emerging Markets Economic Surprise Index -7.30 -.7 point
- 10-Year TIPS Spread 2.09 -1.0 basis point
- 92.3% chance of Fed rate hike at Nov. 8th meeting, 97.9% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -189 open in Japan
- China A50 Futures: Indicating -110 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/medical/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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