Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.49 -1.89%
- Euro/Yen Carry Return Index 117.88 -.67%
- Emerging Markets Currency Volatility(VXY) 9.37 +.32%
- S&P 500 Implied Correlation 41.52 +.19%
- ISE Sentiment Index 99.0 +35.62%
- Total Put/Call .97 -1.02%
- NYSE Arms 1.25 +93.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.06 +.24%
- America Energy Sector High-Yield CDS Index 522.0 -.19%
- European Financial Sector CDS Index 93.50 -.66%
- Western Europe Sovereign Debt CDS Index 18.12 -5.38%
- Asia Pacific Sovereign Debt CDS Index 34.07 +.40%
- Emerging Market CDS Index 233.31 -.21%
- iBoxx Offshore RMB China Corporate High Yield Index 132.47 +.02%
- 2-Year Swap Spread 23.75 unch.
- TED Spread 55.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -43.25 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.19 -.29%
- 3-Month T-Bill Yield .32% unch.
- Yield Curve 91.0 -2.0 basis points
- China Import Iron Ore Spot $58.72/Metric Tonne -.22%
- Citi US Economic Surprise Index -23.0 +.8 point
- Citi Eurozone Economic Surprise Index 16.6 -1.0 point
- Citi Emerging Markets Economic Surprise Index -18.40 -.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 +76 open in Japan
- China A50 Futures: Indicating +2 open in China
- DAX Futures: Indicating -6 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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