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) 14.55 +8.1%
- Euro/Yen Carry Return Index 119.07 +.44%
- Emerging Markets Currency Volatility(VXY) 9.42 +.21%
- S&P 500 Implied Correlation 47.83 +13.42%
- ISE Sentiment Index 105.0 unch.
- Total Put/Call .90 -8.16%
- NYSE Arms .70 -42.48%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.29 +1.31%
- America Energy Sector High-Yield CDS Index 537.0 +2.28%
- European Financial Sector CDS Index 95.61 +1.17%
- Western Europe Sovereign Debt CDS Index 18.41 +1.74%
- Asia Pacific Sovereign Debt CDS Index 33.55 +.12%
- Emerging Market CDS Index 233.68 +1.65%
- iBoxx Offshore RMB China Corporate High Yield Index 132.55 +.02%
- 2-Year Swap Spread 22.50 -.5 basis point
- TED Spread 55.25 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -43.0 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.28 -.44%
- 3-Month T-Bill Yield .32% -1.0 basis point
- Yield Curve 92.0 +1.0 basis point
- China Import Iron Ore Spot $63.07/Metric Tonne +1.79%
- Citi US Economic Surprise Index -10.9 +2.2 points
- Citi Eurozone Economic Surprise Index 35.5 -.2 point
- Citi Emerging Markets Economic Surprise Index -15.90 +1.5 points
- 10-Year TIPS Spread 1.73% +3.0 basis points
- 70.9% chance of Fed rate hike at Dec. 14 meeting, 72.7% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -11 open in Japan
- China A50 Futures: Indicating -3 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Higher: On gains in my 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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