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) 21.5 +11.1%
- Euro/Yen Carry Return Index 119.49 -.21%
- Emerging Markets Currency Volatility(VXY) 10.5 -.66%
- S&P 500 Implied Correlation 69.37 +8.04%
- ISE Sentiment Index 50.o +2.0%
- Total Put/Call 1.12 +16.42%
- NYSE Arms .79 -38.96%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.90 +.06%
- America Energy Sector High-Yield CDS Index 612.28 -.72%
- European Financial Sector CDS Index 99.23 -1.93%
- Western Europe Sovereign Debt CDS Index 19.05 -1.60%
- Asia Pacific Sovereign Debt CDS Index 36.37 +.55%
- Emerging Market CDS Index 251.75 -.51%
- iBoxx Offshore RMB China Corporate High Yield Index 132.59 +.04%
- 2-Year Swap Spread 23.75 +.5 basis point
- TED Spread 52.0 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -45.0 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.22 +.1%
- 3-Month T-Bill Yield .37% +1.0 basis point
- Yield Curve 100.0 +2.0 basis points
- China Import Iron Ore Spot $65.46/Metric Tonne +.23%
- Citi US Economic Surprise Index -13.10 -3.1 points
- Citi Eurozone Economic Surprise Index 43.5 -1.9 points
- Citi Emerging Markets Economic Surprise Index -3.20 +1.7 points
- 10-Year TIPS Spread 1.69% -2.0 basis points
- 78.0% chance of Fed rate hike at Dec. 14 meeting, 79.4% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -135 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical sector longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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