Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.55 +4.02%
- Euro/Yen Carry Return Index 119.51 -.23%
- Emerging Markets Currency Volatility(VXY) 10.41 +.03%
- S&P 500 Implied Correlation 48.0 +3.76%
- ISE Sentiment Index 62.0 -35.42%
- Total Put/Call 1.01 -3.81%
- NYSE Arms .93 +.72%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.89 +.47%
- America Energy Sector High-Yield CDS Index 602.0 -.66%
- European Financial Sector CDS Index 100.89 +2.03%
- Western Europe Sovereign Debt CDS Index 20.96 +.29%
- Asia Pacific Sovereign Debt CDS Index 34.53 +.89%
- Emerging Market CDS Index 237.01 +.1%
- iBoxx Offshore RMB China Corporate High Yield Index 132.37 -.01%
- 2-Year Swap Spread 23.0 +.25 basis point
- TED Spread 53.75 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -42.75 -3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.20 +.02%
- 3-Month T-Bill Yield .28% -8.0 basis points
- Yield Curve 90.0 -1.0 basis point
- China Import Iron Ore Spot $56.67/Metric Tonne -.86%
- Citi US Economic Surprise Index -6.60 +.8 point
- Citi Eurozone Economic Surprise Index 22.6 -.2 point
- Citi Emerging Markets Economic Surprise Index -17.70 -4.0 points
- 10-Year TIPS Spread 1.64% -1.0 basis point
- 65.1% chance of Fed rate hike at Dec. 14 meeting, 67.2% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +25 open in Japan
- China A50 Futures: Indicating -10 open in China
- DAX Futures: Indicating +33 open in Germany
Portfolio:
- Higher: On gains in my biotech sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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