Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 21.9 -.8%
- Euro/Yen Carry Return Index 122.30 -.16%
- Emerging Markets Currency Volatility(VXY) 9.0 +.78%
- S&P 500 Implied Correlation 50.3 -1.9%
- ISE Sentiment Index 82.0 +18.8%
- Total Put/Call 1.15 -9.5%
- NYSE Arms 1.55 -56.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.69 +2.2%
- America Energy Sector High-Yield CDS Index 423.0 +5.17%
- European Financial Sector CDS Index 71.97 -3.5%
- Italian/German 10Y Yld Spread 204.5 -11.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 71.32 +2.2%
- Emerging Market CDS Index 21210.97 -2.4%
- iBoxx Offshore RMB China Corporate High Yield Index 164.65 -.01%
- 2-Year Swap Spread 1.0 +.25 basis point
- TED Spread 22.5 +5.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.65 +.17%
- 3-Month T-Bill Yield 1.89% -6.0 basis points
- Yield Curve 3.25 +2.5 basis points
- China Iron Ore Spot 85.25 USD/Metric Tonne -1.4%
- Citi US Economic Surprise Index -12.7 +7.2 points
- Citi Eurozone Economic Surprise Index -64.10 +.4 point
- Citi Emerging Markets Economic Surprise Index -21.0 +1.4 points
- 10-Year TIPS Spread 1.55 -3.0 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 -100 open in Japan
- China A50 Futures: Indicating -97 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges, then covered some
- Market Exposure: 50% Net Long
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