Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 19.2 +3.5%
- Euro/Yen Carry Return Index 119.72 -.46%
- Emerging Markets Currency Volatility(VXY) 10.54 +3.43%
- S&P 500 Implied Correlation 62.55 +2.05%
- ISE Sentiment Index 52.o unch.
- Total Put/Call 1.35 -6.25%
- NYSE Arms 1.04 +47.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.2 +1.16%
- America Energy Sector High-Yield CDS Index 614.76 +2.69%
- European Financial Sector CDS Index 101.19 +1.56%
- Western Europe Sovereign Debt CDS Index 19.36 +2.22%
- Asia Pacific Sovereign Debt CDS Index 36.08 +.64%
- Emerging Market CDS Index 253.72 +2.89%
- iBoxx Offshore RMB China Corporate High Yield Index 132.52 unch.
- 2-Year Swap Spread 23.25 -1.0 basis point
- TED Spread 53.25 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -45.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.11 -.12%
- 3-Month T-Bill Yield .36% +1.0 basis point
- Yield Curve 98.0 -2.0 basis points
- China Import Iron Ore Spot $65.31/Metric Tonne -.03%
- Citi US Economic Surprise Index -10.0 -1.7 points
- Citi Eurozone Economic Surprise Index 45.4 +4.2 points
- Citi Emerging Markets Economic Surprise Index -4.90 -.9 point
- 10-Year TIPS Spread 1.71% -2.0 basis points
- 80.0% chance of Fed rate hike at Dec. 14 meeting, 80.8% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -104 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating +12 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/medical sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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