Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.22 -8.9%
- Euro/Yen Carry Return Index 117.53 -.30%
- Emerging Markets Currency Volatility(VXY) 10.14 -2.62%
- S&P 500 Implied Correlation 46.50 -6.36%
- ISE Sentiment Index 71.0 +39.2%
- Total Put/Call .97 -15.65%
- NYSE Arms 1.31 +10.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.76 -1.78%
- America Energy Sector High-Yield CDS Index 684.0 -.76%
- European Financial Sector CDS Index 102.07 +2.62%
- Western Europe Sovereign Debt CDS Index 24.54 +2.1%
- Asia Pacific Sovereign Debt CDS Index 32.58 +.48%
- Emerging Market CDS Index 235.26 -1.69%
- iBoxx Offshore RMB China Corporate High Yield Index 132.08 +.04%
- 2-Year Swap Spread 25.5 -.25 basis point
- TED Spread 61.5 -7.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -42.0 -4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.10 +.40%
- 3-Month T-Bill Yield .25% +7.0 basis points
- Yield Curve 81.0 -4.0 basis points
- China Import Iron Ore Spot $56.63/Metric Tonne -.25%
- Citi US Economic Surprise Index -5.20 +.2 point
- Citi Eurozone Economic Surprise Index -10.70 -1.2 points
- Citi Emerging Markets Economic Surprise Index -11.7 +2.1 points
- 10-Year TIPS Spread 1.54% -2.0 basis points
- 49.9% chance of Fed rate hike at Dec. 14 meeting, 53.0% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -193 open in Japan
- China A50 Futures: Indicating -29 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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