Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.9 -3.2%
- Euro/Yen Carry Return Index 123.77 +.9%
- Emerging Markets Currency Volatility(VXY) 8.7 +.8%
- S&P 500 Implied Correlation 43.4 -10.4%
- ISE Sentiment Index 92.0 +24.3%
- Total Put/Call .92 -23.3%
- NYSE Arms .88 -58.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.3 -6.65%
- America Energy Sector High-Yield CDS Index 402.0 +1.0%
- European Financial Sector CDS Index 70.25 -5.7%
- Italian/German 10Y Yld Spread 222.75 -6.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 69.27 -.55%
- Emerging Market CDS Index 203.44 +2.1%
- iBoxx Offshore RMB China Corporate High Yield Index 164.85 +.03%
- 2-Year Swap Spread -1.0 -.25 basis point
- TED Spread 19.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -19.75 -5.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.11 +.19%
- 3-Month T-Bill Yield 1.99% +2.0 basis points
- Yield Curve 2.0 -4.5 basis points
- China Iron Ore Spot 89.25 USD/Metric Tonne +2.82%
- Citi US Economic Surprise Index -19.8 +7.0 points
- Citi Eurozone Economic Surprise Index -62.90 -10.1 points
- Citi Emerging Markets Economic Surprise Index -15.9 -.2 point
- 10-Year TIPS Spread 1.64 +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 +260 open in Japan
- China A50 Futures: Indicating +153 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/retail/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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