Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.01 -2.78%
- Euro/Yen Carry Return Index 118.61 +.03%
- Emerging Markets Currency Volatility(VXY) 9.44 -2.38%
- S&P 500 Implied Correlation 42.35 -4.1%
- ISE Sentiment Index 77.0 +10.0%
- Total Put/Call 1.03 +9.57%
- NYSE Arms .53 -31.36%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.90 -.02%
- America Energy Sector High-Yield CDS Index 521.0 -3.46%
- European Financial Sector CDS Index 94.12 -1.19%
- Western Europe Sovereign Debt CDS Index 19.0 +.58%
- Asia Pacific Sovereign Debt CDS Index 33.92 +.37%
- Emerging Market CDS Index 234.58 -1.03%
- iBoxx Offshore RMB China Corporate High Yield Index 132.45 -.04%
- 2-Year Swap Spread 23.75 +.5 basis point
- TED Spread 55.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -41.5 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.41 -.25%
- 3-Month T-Bill Yield .32% -1.0 basis point
- Yield Curve 93.0 -2.0 basis points
- China Import Iron Ore Spot $58.85/Metric Tonne +.82%
- Citi US Economic Surprise Index -23.80 -.2 point
- Citi Eurozone Economic Surprise Index 17.6 -.7 point
- Citi Emerging Markets Economic Surprise Index -18.30 +.1 point
- 10-Year TIPS Spread 1.69% unch.
- 69.2% chance of Fed rate hike at Dec. 14 meeting, 70.5% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +80 open in Japan
- China A50 Futures: Indicating +4 open in China
- DAX Futures: Indicating +8 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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