Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.7 +.8%
- Euro/Yen Carry Return Index 129.52 +.12%
- Emerging Markets Currency Volatility(VXY) 11.25 +.18%
- S&P 500 Implied Correlation 38.07 -6.5%
- ISE Sentiment Index 75.0 -36.0 points
- Total Put/Call .74 +4.2%
- NYSE Arms .66 -27.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.37 -1.69%
- US Energy High-Yield OAS 779.24 -.46%
- European Financial Sector CDS Index 62.22 -2.25%
- Italian/German 10Y Yld Spread 142.50 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 62.84 -2.53%
- Emerging Market CDS Index 179.53 -2.08%
- iBoxx Offshore RMB China Corporate High Yield Index 177.41 +.12%
- 2-Year Swap Spread 6.75 -1.25 basis points
- TED Spread 16.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -2.5 -1.5 basis points
- MBS 5/10 Treasury Spread 89.0 +.25 basis point
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.11 +.11%
- 3-Month T-Bill Yield .9% unch.
- Yield Curve 48.5 -.75 basis point
- China Iron Ore Spot 120.0 USD/Metric Tonne -1.4%
- Citi US Economic Surprise Index 236.70 -17.9 points
- Citi Eurozone Economic Surprise Index 133.20 +.7 point
- Citi Emerging Markets Economic Surprise Index 25.4 -.7 point
- 10-Year TIPS Spread 1.68 +4.0 basis points
- 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 +74 open in Japan
- China A50 Futures: Indicating -63 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/medical sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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