Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.6 -.18%
- Euro/Yen Carry Return Index 129.40 -.45%
- Emerging Markets Currency Volatility(VXY) 11.6 +1.94%
- S&P 500 Implied Correlation 45.4 -1.3%
- ISE Sentiment Index 103 .0 -8.0 points
- Total Put/Call .70 +18.6%
- NYSE Arms 1.47 +17.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.39 -.25%
- US Energy High-Yield OAS 814.83 -.17%
- European Financial Sector CDS Index 64.98 -1.78%
- Italian/German 10Y Yld Spread 147.75 -.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 67.61 -.25%
- Emerging Market CDS Index 189.44 -.26%
- iBoxx Offshore RMB China Corporate High Yield Index 177.03 -.02%
- 2-Year Swap Spread 8.5 +.5 basis point
- TED Spread 15.0 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -.75 +1.25 basis points
- MBS 5/10 Treasury Spread 80.25 -1.75 basis points
- IHS Markit CMBX BBB- 6 67.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.30 -.60%
- 3-Month T-Bill Yield .09% -1.0 basis point
- Yield Curve 40.5 -2.0 basis points
- China Iron Ore Spot 112.60 USD/Metric Tonne -.67%
- Citi US Economic Surprise Index 223.0 +1.1 points
- Citi Eurozone Economic Surprise Index 211.90 +3.5 points
- Citi Emerging Markets Economic Surprise Index 1.1 +8.4 points
- 10-Year TIPS Spread 1.61 -1.0 basis point
- 100.0% chance of no change at Nov. 5th meeting, 100.0% chance of no change at Dec. 16th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +31 open in Japan
- China A50 Futures: Indicating -109 open in China
- DAX Futures: Indicating -47 open in Germany
Portfolio:
- Slightly Higher: On gains in my consumer staple/industrial/medical sector longs
- Disclosed Trades: Added to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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