Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.8 -8.9%
- Euro/Yen Carry Return Index 122.71 +.19%
- Emerging Markets Currency Volatility(VXY) 8.73 -.34%
- S&P 500 Implied Correlation 43.58 -6.62%
- ISE Sentiment Index 58.0 -37.0%
- Total Put/Call .99 -8.33%
- NYSE Arms .90 +143.20%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.74 -5.3%
- America Energy Sector High-Yield CDS Index 421.0 -1.57%
- European Financial Sector CDS Index 64.60 -5.14%
- Italian/German 10Y Yld Spread 208.50 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 66.57 -3.68%
- Emerging Market CDS Index 210.43 +2.98%
- iBoxx Offshore RMB China Corporate High Yield Index 164.89 +.15%
- 2-Year Swap Spread 1.25 -.5 basis point
- TED Spread 27.0 +4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.5 +3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.36 -.53%
- 3-Month T-Bill Yield 1.90% +3.0 basis points
- Yield Curve 6.25 +.25 basis point
- China Iron Ore Spot 86.90 USD/Metric Tonne +.47%
- Citi US Economic Surprise Index -13.3 +4.3 points
- Citi Eurozone Economic Surprise Index -61.50 +2.1 points
- Citi Emerging Markets Economic Surprise Index -21.2 +1.9 points
- 10-Year TIPS Spread 1.57 +2.0 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 +82 open in Japan
- China A50 Futures: Indicating -74 open in China
- DAX Futures: Indicating -19 open in Germany
Portfolio:
- Higher: On gains in my retail/industrial/biotech/medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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