Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.64 +17.8%
- Euro/Yen Carry Return Index 118.42 +.41%
- Emerging Markets Currency Volatility(VXY) 10.29 +1.68%
- S&P 500 Implied Correlation 47.19 +8.92%
- ISE Sentiment Index 73.0 -9.88%
- Total Put/Call 1.01 +9.78%
- NYSE Arms .72 +10.99%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.74 +3.17%
- America Energy Sector High-Yield CDS Index 666.0 -1.69%
- European Financial Sector CDS Index 102.0 +.49%
- Western Europe Sovereign Debt CDS Index 24.45 -.81%
- Asia Pacific Sovereign Debt CDS Index 32.44 +3.35%
- Emerging Market CDS Index 239.76 +3.06%
- iBoxx Offshore RMB China Corporate High Yield Index 132.21 +.05%
- 2-Year Swap Spread 25.0 +1.0 basis point
- TED Spread 58.0 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -49.5 -7.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.84 -.34%
- 3-Month T-Bill Yield .24% -3.0 basis points
- Yield Curve 82.0 +1.0 basis point
- China Import Iron Ore Spot $56.68/Metric Tonne +.35%
- Citi US Economic Surprise Index -3.40 +1.7 points
- Citi Eurozone Economic Surprise Index 4.10 +14.5 points
- Citi Emerging Markets Economic Surprise Index -11.4 -.6 point
- 10-Year TIPS Spread 1.56% -2.0 basis points
- 52.7% chance of Fed rate hike at Dec. 14 meeting, 56.6% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -108 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating -109 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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