Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declinging
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.9 +25.3%
- Euro/Yen Carry Return Index 121.86 -.50%
- Emerging Markets Currency Volatility(VXY) 8.73 -.46%
- S&P 500 Implied Correlation 48.11 +11.5%
- ISE Sentiment Index 56.0 -34.9%
- Total Put/Call 1.16 +26.1%
- NYSE Arms 1.43 +50.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.76 +5.8%
- America Energy Sector High-Yield CDS Index 410.0 +.61%
- European Financial Sector CDS Index 64.37 +2.93%
- Italian/German 10Y Yld Spread 199.25 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.02 +.16%
- Emerging Market CDS Index 213.32 +3.65%
- iBoxx Offshore RMB China Corporate High Yield Index 164.87 +.02%
- 2-Year Swap Spread -.75 +.25 basis point
- TED Spread 14.75 -2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.5 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.31 -.18%
- 3-Month T-Bill Yield 1.96% -2.0 basis points
- Yield Curve 0.0 unch.
- China Iron Ore Spot 86.61 USD/Metric Tonne -.68%
- Citi US Economic Surprise Index -16.6 -2.4 points
- Citi Eurozone Economic Surprise Index -41.50 +.2 point
- Citi Emerging Markets Economic Surprise Index -23.8 +1.3 points
- 10-Year TIPS Spread 1.54 -1.0 basis point
- 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 -502 open in Japan
- China A50 Futures: Indicating -272 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Lower: On losses in my retail/tech/industrial/medical/biotech 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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