Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.17 +4.5%
- Euro/Yen Carry Return Index 121.86 -.39%
- Emerging Markets Currency Volatility(VXY) 9.25 -.54%
- S&P 500 Implied Correlation 47.56 +6.2%
- ISE Sentiment Index 95.0 +10.5%
- Total Put/Call 1.0 -6.5%
- NYSE Arms 1.17 +80.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.54 -.43%
- America Energy Sector High-Yield CDS Index 423.0 -.73%
- European Financial Sector CDS Index 60.49 -6.24%
- Italian/German 10Y Yld Spread 183.25 -15.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.82 -.19%
- Emerging Market CDS Index 214.72 +.29%
- iBoxx Offshore RMB China Corporate High Yield Index 164.79 -.03%
- 2-Year Swap Spread -2.25 -1.5 basis points
- TED Spread 18.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -15.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 64.97 -.15%
- 3-Month T-Bill Yield 1.96% -2.0 basis points
- Yield Curve -.04 -4.0 basis points
- China Iron Ore Spot 79.82 USD/Metric Tonne -2.34%
- Citi US Economic Surprise Index -13.7 +2.6 points
- Citi Eurozone Economic Surprise Index -42.0 +1.1 points
- Citi Emerging Markets Economic Surprise Index -20.5 +1.3 points
- 10-Year TIPS Spread 1.55 unch.
- 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 +39 open in Japan
- China A50 Futures: Indicating +18 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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