Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.89 -5.43%
- Euro/Yen Carry Return Index 121.13 +.60%
- Emerging Markets Currency Volatility(VXY) 10.33 unch.
- S&P 500 Implied Correlation 42.29 -3.29%
- ISE Sentiment Index 150.0 +23.97%
- Total Put/Call .64 -28.89%
- NYSE Arms .66 -25.89%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.64 -1.19%
- America Energy Sector High-Yield CDS Index 643.0 -1.54%
- European Financial Sector CDS Index 100.0 -2.91%
- Western Europe Sovereign Debt CDS Index 21.85 -.23%
- Asia Pacific Sovereign Debt CDS Index 32.93 -.74%
- Emerging Market CDS Index 236.62 -.62%
- iBoxx Offshore RMB China Corporate High Yield Index 132.22 -.01%
- 2-Year Swap Spread 22.25 -.5 basis point
- TED Spread 53.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -44.75 +3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.82 +.25%
- 3-Month T-Bill Yield .32% unch.
- Yield Curve 87.0 +1.0 basis point
- China Import Iron Ore Spot $55.86/Metric Tonne unch.
- Citi US Economic Surprise Index .80 +7.7 points
- Citi Eurozone Economic Surprise Index 6.0 +.8 point
- Citi Emerging Markets Economic Surprise Index -11.70 -.2 point
- 10-Year TIPS Spread 1.65% +2.0 basis points
- 62.1% chance of Fed rate hike at Dec. 14 meeting, 65.3% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +146 open in Japan
- China A50 Futures: Indicating +40 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 50% Net Long
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