Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.37 +16.92%
- Euro/Yen Carry Return Index 117.98 -.31%
- Emerging Markets Currency Volatility(VXY) 10.53 +1.25%
- S&P 500 Implied Correlation 49.17 +10.4%
- ISE Sentiment Index 47.0 -45.98%
- Total Put/Call 1.12 +7.69%
- NYSE Arms 1.01 -9.32%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.16 +1.72%
- America Energy Sector High-Yield CDS Index 683.0 +.79%
- European Financial Sector CDS Index 99.46 +2.85%
- Western Europe Sovereign Debt CDS Index 24.04 +1.82%
- Asia Pacific Sovereign Debt CDS Index 32.25 +4.1%
- Emerging Market CDS Index 239.05 +2.80%
- iBoxx Offshore RMB China Corporate High Yield Index 132.03 +.03%
- 2-Year Swap Spread 25.75 -.75 basis point
- TED Spread 68.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -37.25 -4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.81 -.01%
- 3-Month T-Bill Yield .18% +1.0 basis point
- Yield Curve 85.0 -1.0 basis point
- China Import Iron Ore Spot $56.77/Metric Tonne -.04%
- Citi US Economic Surprise Index -5.40 -1.0 point
- Citi Eurozone Economic Surprise Index -9.50 +9.8 points
- Citi Emerging Markets Economic Surprise Index -13.8 +.9 point
- 10-Year TIPS Spread 1.56% -3.0 basis points
- 50.5% chance of Fed rate hike at Dec. 14 meeting, 53.6% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -240 open in Japan
- China A50 Futures: Indicating -45 open in China
- DAX Futures: Indicating -22 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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