Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.24 +4.94%
- Euro/Yen Carry Return Index 120.31 +1.06%
- Emerging Markets Currency Volatility(VXY) 10.24 -.39%
- S&P 500 Implied Correlation 46.41 +4.93%
- ISE Sentiment Index 135.0 -9.4%
- Total Put/Call .96 -7.69%
- NYSE Arms .87 -19.95%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.80 +.88%
- America Energy Sector High-Yield CDS Index 651.0 +.24%
- European Financial Sector CDS Index 103.0 -1.38%
- Western Europe Sovereign Debt CDS Index 21.97 +1.6%
- Asia Pacific Sovereign Debt CDS Index 33.01 +.12%
- Emerging Market CDS Index 238.34 +2.33%
- iBoxx Offshore RMB China Corporate High Yield Index 132.23 -.05%
- 2-Year Swap Spread 22.75 -.75 basis point
- TED Spread 54.75 -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -48.25 +10.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.63 -.61%
- 3-Month T-Bill Yield .32% +2.0 basis points
- Yield Curve 86.0 +3.0 basis points
- China Import Iron Ore Spot $55.86/Metric Tonne unch.
- Citi US Economic Surprise Index -6.90 -1.3 points
- Citi Eurozone Economic Surprise Index 5.20 +.9 point
- Citi Emerging Markets Economic Surprise Index -11.50 -1.0 point
- 10-Year TIPS Spread 1.63% unch.
- 61.8% chance of Fed rate hike at Dec. 14 meeting, 64.2% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +15 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating -92 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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