Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.1 +11.8%
- Euro/Yen Carry Return Index 122.61 -.27%
- Emerging Markets Currency Volatility(VXY) 8.65 +3.22%
- S&P 500 Implied Correlation 46.57 +11.5%
- ISE Sentiment Index 78.0 -11.4%
- Total Put/Call 1.20 +20.0%
- NYSE Arms 2.23 +21.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.45 +4.3%
- America Energy Sector High-Yield CDS Index 398.0 +1.5%
- European Financial Sector CDS Index 74.45 +2.6%
- Italian/German 10Y Yld Spread 229.5 -8.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 69.94 +3.53%
- Emerging Market CDS Index 200.69 +12.8%
- iBoxx Offshore RMB China Corporate High Yield Index 164.81 +.06%
- 2-Year Swap Spread -.75 +.5 basis point
- TED Spread 19.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -14.25 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.0 -.36%
- 3-Month T-Bill Yield 1.97% -2.0 basis points
- Yield Curve 6.5 -3.25 basis points
- China Iron Ore Spot 87.18 USD/Metric Tonne -1.08%
- Citi US Economic Surprise Index -26.8 +4.1 points
- Citi Eurozone Economic Surprise Index -52.80 +1.3 points
- Citi Emerging Markets Economic Surprise Index -15.7 +4.4 points
- 10-Year TIPS Spread 1.61 -5.0 basis points
- 100.0% chance of Fed rate cut at Oct. 30th meeting, 100.0% chance of cut at Dec. 11th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -414 open in Japan
- China A50 Futures: Indicating -248 open in China
- DAX Futures: Indicating -69 open in Germany
Portfolio:
- Lower: On losses in my tech/biotech/retail/medical/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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