Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Gaining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.3 -10.2%
- Euro/Yen Carry Return Index 131.18 -.19%
- Emerging Markets Currency Volatility(VXY) 12.18 -4.92%
- S&P 500 Implied Correlation 31.73 -9.8%
- ISE Sentiment Index 126.0 +20.0%
- Total Put/Call .93 -13.89%
- NYSE Arms 1.17 -32.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.67 -.58%
- America Energy Sector High-Yield CDS Index 386.0 +1.42%
- European Financial Sector CDS Index 85.50 -3.49%
- Italian/German 10Y Yld Spread 270.25 -8.75 basis points
- Asia Pacific Sovereign Debt CDS Index 10.64 -2.12%
- Emerging Market CDS Index 205.28 -6.79%
- iBoxx Offshore RMB China Corporate High Yield Index 150.99 +.16%
- 2-Year Swap Spread 19.75 +1.0 basis point
- TED Spread 26.0 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.24 +1.1%
- 3-Month T-Bill Yield 2.07% +4.0 basis points
- Yield Curve 26.25 -.25 basis point
- China Iron Ore Spot 67.97 USD/Metric Tonne +.25%
- Citi US Economic Surprise Index -10.40 +.8 point
- Citi Eurozone Economic Surprise Index -19.50 +10.5 points
- Citi Emerging Markets Economic Surprise Index -6.60 -3.9 points
- 10-Year TIPS Spread 2.10 unch.
- 92.5% chance of Fed rate hike at Nov. 8th meeting, 97.8% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -41 open in Japan
- China A50 Futures: Indicating +31 open in China
- DAX Futures: Indicating +50 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical/retail/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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