Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.79 +3.76%
- Euro/Yen Carry Return Index 118.98 unch.
- Emerging Markets Currency Volatility(VXY) 10.30 -1.5%
- S&P 500 Implied Correlation 44.38 -.52%
- ISE Sentiment Index 149.0 +56.84%
- Total Put/Call 1.04 +6.12%
- NYSE Arms 1.03 +25.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.06 -.99%
- America Energy Sector High-Yield CDS Index 646.0 +.92%
- European Financial Sector CDS Index 104.44 +3.41%
- Western Europe Sovereign Debt CDS Index 24.83 -12.91%
- Asia Pacific Sovereign Debt CDS Index 32.97 +.63%
- Emerging Market CDS Index 233.62 -.96%
- iBoxx Offshore RMB China Corporate High Yield Index 132.30 +.08%
- 2-Year Swap Spread 23.5 -1.5 basis points
- TED Spread 59.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -58.75 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.08 +.15%
- 3-Month T-Bill Yield .30% +3.0 basis points
- Yield Curve 83.0 -1.0 basis point
- China Import Iron Ore Spot $55.86/Metric Tonne unch.
- Citi US Economic Surprise Index -5.60 -.5 point
- Citi Eurozone Economic Surprise Index 4.30 +1.7 points
- Citi Emerging Markets Economic Surprise Index -10.50 +.5 point
- 10-Year TIPS Spread 1.63% +3.0 basis points
- 60.9% chance of Fed rate hike at Dec. 14 meeting, 63.4% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +41 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/tech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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