Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.31 +3.6%
- Euro/Yen Carry Return Index 120.40 -.58%
- Emerging Markets Currency Volatility(VXY) 10.18 -.29%
- S&P 500 Implied Correlation 43.09 +4.56%
- ISE Sentiment Index 69.0 -1.43%
- Total Put/Call 1.13 +13.13%
- NYSE Arms .77 -20.93%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.96 -1.67%
- America Energy Sector High-Yield CDS Index 615.0 -1.04%
- European Financial Sector CDS Index 99.16 -.56%
- Western Europe Sovereign Debt CDS Index 21.84 +.37%
- Asia Pacific Sovereign Debt CDS Index 32.88 +.55%
- Emerging Market CDS Index 235.30 -.50%
- iBoxx Offshore RMB China Corporate High Yield Index 132.23 -.07%
- 2-Year Swap Spread 23.0 +.75 basis point
- TED Spread 53.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +4.74 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.70 -.10%
- 3-Month T-Bill Yield .32% unch.
- Yield Curve 89.0 +2.0 basis points
- China Import Iron Ore Spot $55.86/Metric Tonne unch.
- Citi US Economic Surprise Index -2.0 -3.8 points
- Citi Eurozone Economic Surprise Index 13.2 +5.9 points
- Citi Emerging Markets Economic Surprise Index -11.60 +.1 point
- 10-Year TIPS Spread 1.64% -1.0 basis point
- 64.3% chance of Fed rate hike at Dec. 14 meeting, 67.2% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -46 open in Japan
- China A50 Futures: Indicating n/a open in China
- DAX Futures: Indicating -4 open in Germany
Portfolio:
- Higher: On gains in my retail/medical sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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