- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.78 -2.24%
- Euro/Yen Carry Return Index 131.02 +.35%
- Emerging Markets Currency Volatility(VXY) 11.17 -.62%
- S&P 500 Implied Correlation 44.5 -3.0%
- ISE Sentiment Index 99 .0 +1.0 point
- Total Put/Call .60 -21.1%
- NYSE Arms 1.04 -24.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.93 +.83%
- US Energy High-Yield OAS 754.85 -.07%
- European Financial Sector CDS Index 62.82 +3.0%
- Italian/German 10Y Yld Spread 141.25 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 65.05 -1.25%
- Emerging Market CDS Index 186.78 +1.70%
- iBoxx Offshore RMB China Corporate High Yield Index 176.87 -.15%
- 2-Year Swap Spread 8.0 +.25 basis point
- TED Spread 15.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap .75 +1.0 basis point
- MBS 5/10 Treasury Spread 83.0 -1.5 basis points
- IHS Markit CMBX BBB- 6 68.5 +.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.44 +.26%
- 3-Month T-Bill Yield .09% -1.0 basis point
- Yield Curve 50.5 unch.
- China Iron Ore Spot 114.74 USD/Metric Tonne -.83%
- Citi US Economic Surprise Index 250.3 +1.2 points
- Citi Eurozone Economic Surprise Index 206.50 -2.6 points
- Citi Emerging Markets Economic Surprise Index 20.9 +.6 point
- 10-Year TIPS Spread 1.69 +3.0 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 -24 open in Japan
- China A50 Futures: Indicating -72 open in China
- DAX Futures: Indicating -56 open in Germany
Portfolio:
- Slightly Lower: On losses in my consumer staple/tech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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