Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.5 -3.6%
- Bloomberg Global Risk On/Risk Off Index 3,069.0 -23.0 points
- Euro/Yen Carry Return Index 134.34 -.14%
- Emerging Markets Currency Volatility(VXY) 8.7 -.6%
- S&P 500 Implied Correlation 48.7 +13.9%
- ISE Sentiment Index 113.0 +42.0 points
- Total Put/Call .81 unch.
- NYSE Arms 1.15 +4.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 48.33 -.22%
- US Energy High-Yield OAS 385.66 +2.1%
- European Financial Sector CDS Index 54.05 +.25%
- Italian/German 10Y Yld Spread 103.0 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 87.48 -1.59%
- Emerging Market CDS Index 160.80 -1.42%
- China Corp. High-Yield Bond USD ETF(KCCB) 39.06 +.23%
- 2-Year Swap Spread 7.75 unch.
- TED Spread 8.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 +.5 basis point
- MBS 5/10 Treasury Spread 69.75 +1.25 basis points
- IHS Markit CMBX BBB- 6 73.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.12 +.45%
- 3-Month T-Bill Yield .05% unch.
- Yield Curve 115.0 +1.0 basis point
- China Iron Ore Spot 209.0 USD/Metric Tonne -.44%
- Citi US Economic Surprise Index 22.7 +1.9 points
- Citi Eurozone Economic Surprise Index 77.30 -4.9 points
- Citi Emerging Markets Economic Surprise Index 59.1 -4.4 points
- 10-Year TIPS Spread 2.35 -2.0 basis points
- 100.0% chance of no change at Nov. 3rd meeting, 100.0% chance of no change at Dec. 15th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +7 open in Japan
- China A50 Futures: Indicating -104 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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