Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 15.79 +17.9%
- Euro/Yen Carry Return Index 119.09 -1.22%
- Emerging Markets Currency Volatility(VXY) 10.35 +1.37%
- S&P 500 Implied Correlation 46.77 +16.3%
- ISE Sentiment Index 61.0 -59.6%
- Total Put/Call 1.12 +21.7%
- NYSE Arms 1.25 +42.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.66 +1.73%
- America Energy Sector High-Yield CDS Index 607.0 -.36%
- European Financial Sector CDS Index 100.12 +1.7%
- Western Europe Sovereign Debt CDS Index 20.86 -1.09%
- Asia Pacific Sovereign Debt CDS Index 33.51 +1.70%
- Emerging Market CDS Index 239.62 +1.69%
- iBoxx Offshore RMB China Corporate High Yield Index 132.29 -.13%
- 2-Year Swap Spread 23.25 +.25 basis point
- TED Spread 56.0 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.24 -.76%
- 3-Month T-Bill Yield .33% +1.0 basis point
- Yield Curve 89.0 unch.
- China Import Iron Ore Spot $57.68/Metric Tonne +1.82%
- Citi US Economic Surprise Index -5.20 -2.3 points
- Citi Eurozone Economic Surprise Index 22.2 +1.0 point
- Citi Emerging Markets Economic Surprise Index -11.90 unch.
- 10-Year TIPS Spread 1.65% +1.0 basis point
- 67.6% chance of Fed rate hike at Dec. 14 meeting, 70.3% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -174 open in Japan
- China A50 Futures: Indicating -16 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/medical/biotech/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) shorts
- Market Exposure: Moved to 25% Net Long
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