Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.5 +14.2%
- Euro/Yen Carry Return Index 120.14 -.05%
- Emerging Markets Currency Volatility(VXY) 10.0 +1.1%
- S&P 500 Implied Correlation 64.75 +14.0%
- ISE Sentiment Index 61.o +3.0%
- Total Put/Call 1.48 +42.31%
- NYSE Arms .91 -.92%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.84 +1.7%
- America Energy Sector High-Yield CDS Index 634.0 +4.31%
- European Financial Sector CDS Index 99.63 +2.76%
- Western Europe Sovereign Debt CDS Index 18.94 -.37%
- Asia Pacific Sovereign Debt CDS Index 35.69 +.32%
- Emerging Market CDS Index 247.74 +2.54%
- iBoxx Offshore RMB China Corporate High Yield Index 132.52 -.03%
- 2-Year Swap Spread 24.25 +1.0 basis point
- TED Spread 54.5 -6.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.25 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.17 -.15%
- 3-Month T-Bill Yield .35% +5.0 basis points
- Yield Curve 100.0 +2.0 basis points
- China Import Iron Ore Spot $65.33/Metric Tonne +1.48%
- Citi US Economic Surprise Index -8.3 -.2 point
- Citi Eurozone Economic Surprise Index 41.2 +.4 point
- Citi Emerging Markets Economic Surprise Index -4.0 +9.9 points
- 10-Year TIPS Spread 1.73% -1.0 basis point
- 68.0% chance of Fed rate hike at Dec. 14 meeting, 70.0% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -217 open in Japan
- China A50 Futures: Indicating -31 open in China
- DAX Futures: Indicating -35 open in Germany
Portfolio:
- Higher: On gamins 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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