Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.28 +5.99%
- Euro/Yen Carry Return Index 120.03 +.17%
- Emerging Markets Currency Volatility(VXY) 9.62 +1.58%
- S&P 500 Implied Correlation 55.47 +7.56%
- ISE Sentiment Index 56.0 -42.27%
- Total Put/Call 1.03 +19.77%
- NYSE Arms 1.03 +85.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 77.01 +1.75%
- America Energy Sector High-Yield CDS Index 575.0 +2.27%
- European Financial Sector CDS Index 96.0 +.72%
- Western Europe Sovereign Debt CDS Index 18.60 +4.73%
- Asia Pacific Sovereign Debt CDS Index 33.83 +.58%
- Emerging Market CDS Index 238.45 +1.03%
- iBoxx Offshore RMB China Corporate High Yield Index 132.55 +.03%
- 2-Year Swap Spread 22.75 +.5 basis point
- TED Spread 61.0 +4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -45.5 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.09 -.08%
- 3-Month T-Bill Yield .28% unch.
- Yield Curve 99.0 +3.0 basis points
- China Import Iron Ore Spot $63.96/Metric Tonne +1.46%
- Citi US Economic Surprise Index -9.1 +3.5 points
- Citi Eurozone Economic Surprise Index 43.5 +7.6 points
- Citi Emerging Markets Economic Surprise Index -14.10 +1.0 point
- 10-Year TIPS Spread 1.73% unch.
- 67.6% chance of Fed rate hike at Dec. 14 meeting, 68.9% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -63 open in Japan
- China A50 Futures: Indicating +16 open in China
- DAX Futures: Indicating -56 open in Germany
Portfolio:
- Higher: On gains in my medical/retail sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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