Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 14.6 +5.0%
- Euro/Yen Carry Return Index 134.10 -.61%
- Emerging Markets Currency Volatility(VXY) 12.98 unch.
- S&P 500 Implied Correlation 29.64 unch.
- ISE Sentiment Index 109.0 +3.81%
- Total Put/Call 1.06 +8.16%
- NYSE Arms 1.31 +96.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.57 -1.19%
- America Energy Sector High-Yield CDS Index 421.0 +.50%
- European Financial Sector CDS Index 77.94 -1.68%
- Italian/German 10Y Yld Spread 270.25 +14.75 basis points
- Asia Pacific Sovereign Debt CDS Index 12.70 -2.04%
- Emerging Market CDS Index 225.68 -4.26%
- iBoxx Offshore RMB China Corporate High Yield Index 151.40 +.01%
- 2-Year Swap Spread 19.0 +.5 basis point
- TED Spread 20.0 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.08 -.03%
- 3-Month T-Bill Yield 2.13% unch.
- Yield Curve 24.0 -1.0 basis point
- China Iron Ore Spot 68.26 USD/Metric Tonne +.40%
- Citi US Economic Surprise Index -4.5 +1.5 points
- Citi Eurozone Economic Surprise Index .1 -5.1 points
- Citi Emerging Markets Economic Surprise Index -6.50 -.2 point
- 10-Year TIPS Spread 2.09 -1.0 basis point
- 95.3% chance of Fed rate hike at Nov. 8th meeting, 98.4% chance at Dec. 19th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -17 open in Japan
- China A50 Futures: Indicating +59 open in China
- DAX Futures: Indicating +30 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/medical sector longs and index hedges
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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