Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.6 +23.5%
- Euro/Yen Carry Return Index 122.51 -1.1%
- Emerging Markets Currency Volatility(VXY) 8.9 +2.1%
- S&P 500 Implied Correlation 50.3 +4.1%
- ISE Sentiment Index 74.0 -11.9%
- Total Put/Call 1.23 +33.7%
- NYSE Arms 1.95 +126.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.14 +5.5%
- America Energy Sector High-Yield CDS Index 401.0 +.22%
- European Financial Sector CDS Index 74.55 +6.1%
- Italian/German 10Y Yld Spread 215.75 -7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 70.25 unch.
- Emerging Market CDS Index 218.45 +5.9%
- iBoxx Offshore RMB China Corporate High Yield Index 164.66 -.12%
- 2-Year Swap Spread .75 +1.75 basis points
- TED Spread 17.0 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.75 +5.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.59 -.73%
- 3-Month T-Bill Yield 1.95% -4.0 basis points
- Yield Curve .75 -1.25 basis points
- China Iron Ore Spot 88.35 USD/Metric Tonne -1.32%
- Citi US Economic Surprise Index -19.9 -.1 point
- Citi Eurozone Economic Surprise Index -64.50 -1.6 points
- Citi Emerging Markets Economic Surprise Index -22.4 -6.5 points
- 10-Year TIPS Spread 1.58 -6.0 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 -485 open in Japan
- China A50 Futures: Indicating -180 open in China
- DAX Futures: Indicating -22 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 25% Net Long
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