Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.87 -9.3%
- Euro/Yen Carry Return Index 122.70 +.2%
- Emerging Markets Currency Volatility(VXY) 8.65 -1.14%
- S&P 500 Implied Correlation 43.0 -5.8%
- ISE Sentiment Index 51.0 -40.7%
- Total Put/Call 1.42 +65.1%
- NYSE Arms 1.06 -36.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.52 -3.07%
- America Energy Sector High-Yield CDS Index 413.0 -1.13%
- European Financial Sector CDS Index 61.37 -5.87%
- Italian/German 10Y Yld Spread 200.25 -6.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.42 -.97%
- Emerging Market CDS Index 206.53 -2.14%
- iBoxx Offshore RMB China Corporate High Yield Index 164.86 +.06%
- 2-Year Swap Spread -.5 -1.0 basis point
- TED Spread 24.0 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -8.75 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.62 +.35%
- 3-Month T-Bill Yield 1.97% +7.0 basis points
- Yield Curve 1.25 -3.5 basis points
- China Iron Ore Spot 78.34 USD/Metric Tonne -5.03%
- Citi US Economic Surprise Index -10.1 +.8 point
- Citi Eurozone Economic Surprise Index -59.90 +.4 point
- Citi Emerging Markets Economic Surprise Index -25.3 +.3 point
- 10-Year TIPS Spread 1.54 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 +42 open in Japan
- China A50 Futures: Indicating +46 open in China
- DAX Futures: Indicating -19 open in Germany
Portfolio:
- Higher: On gains in my retail/biotech/tech/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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