Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.36 -5.24%
- Euro/Yen Carry Return Index 119.15 -.16%
- Emerging Markets Currency Volatility(VXY) 9.79 -2.97%
- S&P 500 Implied Correlation 46.24 -5.2%
- ISE Sentiment Index 61.0 -30.7%
- Total Put/Call 1.04 +8.33%
- NYSE Arms 1.21 +10.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.09 -1.22%
- America Energy Sector High-Yield CDS Index 598.0 +.06%
- European Financial Sector CDS Index 98.0 -1.45%
- Western Europe Sovereign Debt CDS Index 18.51 -5.42%
- Asia Pacific Sovereign Debt CDS Index 34.46 -.49%
- Emerging Market CDS Index 244.38 -1.23%
- iBoxx Offshore RMB China Corporate High Yield Index 132.50 +.03%
- 2-Year Swap Spread 22.75 +.25 basis point
- TED Spread 55.25 -4.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -41.25 +4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.38 +.46%
- 3-Month T-Bill Yield .33% +3.0 basis points
- Yield Curve 94.75 -.25 basis point
- China Import Iron Ore Spot $58.41/Metric Tonne +.05%
- Citi US Economic Surprise Index -16.70 -7.0 points
- Citi Eurozone Economic Surprise Index 20.4 -1.4 points
- Citi Emerging Markets Economic Surprise Index -18.30 -.2 point
- 10-Year TIPS Spread 1.68% -1.0 basis point
- 63.5% chance of Fed rate hike at Dec. 14 meeting, 65.0% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +31 open in Japan
- China A50 Futures: Indicating +38 open in China
- DAX Futures: Indicating +3 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 emerging market shorts
- Market Exposure: Moved to 50% Net Long
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