Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.6 +8.8%
- Euro/Yen Carry Return Index 120.17 unch.
- Emerging Markets Currency Volatility(VXY) 9.8 +.1%
- S&P 500 Implied Correlation 58.75 +10.58%
- ISE Sentiment Index 55.o0 unch.
- Total Put/Call 1.04 -5.45%
- NYSE Arms .97 -1.12%
Credit Investor Angst:
- North American Investment Grade CDS Index 78.57 +2.37%
- America Energy Sector High-Yield CDS Index 607.0 +1.69%
- European Financial Sector CDS Index 96.96 +.99%
- Western Europe Sovereign Debt CDS Index 19.01 +2.20%
- Asia Pacific Sovereign Debt CDS Index 35.57 +4.69%
- Emerging Market CDS Index 241.50 +1.57%
- iBoxx Offshore RMB China Corporate High Yield Index 132.55 +.01%
- 2-Year Swap Spread 23.35 +.5 basis point
- TED Spread 60.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -48.25 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.25 +.15%
- 3-Month T-Bill Yield .30% +2.0 basis points
- Yield Curve 98.0 -1.0 basis point
- China Import Iron Ore Spot $64.38/Metric Tonne +.66%
- Citi US Economic Surprise Index -8.1 +1.0 point
- Citi Eurozone Economic Surprise Index 40.8 -2.7 points
- Citi Emerging Markets Economic Surprise Index -13.90 -.2 point
- 10-Year TIPS Spread 1.74% +1.0 basis point
- 71.4% chance of Fed rate hike at Dec. 14 meeting, 72.6% 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 +3 open in Germany
Portfolio:
- Lower: On losses in my medical/biotech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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