Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.49 +3.91%
- Euro/Yen Carry Return Index 118.58 +.52%
- Emerging Markets Currency Volatility(VXY) 10.36 +.10%
- S&P 500 Implied Correlation 45.03 +2.93%
- ISE Sentiment Index 85.0 -3.41%
- Total Put/Call 1.04 +8.33%
- NYSE Arms 1.04 -26.25%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.55 +.65%
- America Energy Sector High-Yield CDS Index 674.0 -2.24%
- European Financial Sector CDS Index 96.70 -.99%
- Western Europe Sovereign Debt CDS Index 23.61 +.04%
- Asia Pacific Sovereign Debt CDS Index 30.96 unch.
- Emerging Market CDS Index 232.20 +2.51%
- iBoxx Offshore RMB China Corporate High Yield Index 131.99 +.07%
- 2-Year Swap Spread 26.50 +1.0 basis point
- TED Spread 69.5 +4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.91 -.29%
- 3-Month T-Bill Yield .17% +1.0 basis point
- Yield Curve 86.0 +1.0 basis point
- China Import Iron Ore Spot $56.79/Metric Tonne +.80%
- Citi US Economic Surprise Index -4.40 +1.5 points
- Citi Eurozone Economic Surprise Index -19.30 +6.4 points
- Citi Emerging Markets Economic Surprise Index -14.7 unch.
- 10-Year TIPS Spread 1.59% +3.0 basis points
- 57.0% chance of Fed rate hike at Dec. 14 meeting, 59.7% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -134 open in Japan
- China A50 Futures: Indicating -39 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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