Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.6 +4.2%
- Euro/Yen Carry Return Index 118.59 +.19%
- Emerging Markets Currency Volatility(VXY) 9.39 -.84%
- S&P 500 Implied Correlation 42.90 +8.33%
- ISE Sentiment Index 93.0 +12.1%
- Total Put/Call .99 +8.79%
- NYSE Arms 1.07 -8.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.25 +.64%
- America Energy Sector High-Yield CDS Index 520.0 +.01%
- European Financial Sector CDS Index 94.50 +3.3%
- Western Europe Sovereign Debt CDS Index 18.1 -2.69%
- Asia Pacific Sovereign Debt CDS Index 33.49 -.56%
- Emerging Market CDS Index 229.63 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 132.52 -.03%
- 2-Year Swap Spread 23.0 -1.5 basis points
- TED Spread 54.75 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -44.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.60 +.31%
- 3-Month T-Bill Yield .33% +1.0 basis point
- Yield Curve 91.0 -2.0 basis points
- China Import Iron Ore Spot $61.96/Metric Tonne +4.52%
- Citi US Economic Surprise Index -13.1 +1.6 points
- Citi Eurozone Economic Surprise Index 35.7 +1.4 points
- Citi Emerging Markets Economic Surprise Index -17.40 +1.2 points
- 10-Year TIPS Spread 1.70% +1.0 basis point
- 74.2% chance of Fed rate hike at Dec. 14 meeting, 75.3% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +23 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating +4 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) shorts
- Market Exposure: Moved to 25% Net Long
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