Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.37 -5.57%
- Euro/Yen Carry Return Index 117.90 +.22%
- Emerging Markets Currency Volatility(VXY) 10.11 -.39%
- S&P 500 Implied Correlation 43.07 -6.17%
- ISE Sentiment Index 80.0 +19.4%
- Total Put/Call .87 -11.22%
- NYSE Arms .70 -36.23%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.50 -2.46%
- America Energy Sector High-Yield CDS Index 676.0 -1.66%
- European Financial Sector CDS Index 101.50 -.55%
- Western Europe Sovereign Debt CDS Index 24.65 +.43%
- Asia Pacific Sovereign Debt CDS Index 31.65 -1.85%
- Emerging Market CDS Index 234.81 +.04%
- iBoxx Offshore RMB China Corporate High Yield Index 132.15 +.05%
- 2-Year Swap Spread 24.0 -1.5 basis points
- TED Spread 59.5 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -41.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.06 -.07%
- 3-Month T-Bill Yield .27% +2.0 basis points
- Yield Curve 81.0 unch.
- China Import Iron Ore Spot $56.48/Metric Tonne -.25%
- Citi US Economic Surprise Index -5.10 +.1 point
- Citi Eurozone Economic Surprise Index -10.40 +.3 point
- Citi Emerging Markets Economic Surprise Index -10.8 +.9 point
- 10-Year TIPS Spread 1.58% +4.0 basis points
- 54.3% chance of Fed rate hike at Dec. 14 meeting, 57.2% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +90 open in Japan
- China A50 Futures: Indicating +31 open in China
- DAX Futures: Indicating +53 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech sector longs, 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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