Broad Equity Market Tone:
- Advance/Decline Line: About Even
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.63 -2.8%
- Euro/Yen Carry Return Index 137.84 -.37%
- Emerging Markets Currency Volatility(VXY) 8.09 -.49%
- S&P 500 Implied Correlation 16.05 -6.58%
- ISE Sentiment Index 125.0 +71.2%
- Total Put/Call .84 -.2%
- NYSE Arms .88 -42.12%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.55 -1.49%
- America Energy Sector High-Yield CDS Index 396.0 -1.28%
- European Financial Sector CDS Index 58.58 -1.1%
- Western Europe Sovereign Debt CDS Index 5.10 +4.3%
- Asia Pacific Sovereign Debt CDS Index 16.09 -.06%
- Emerging Market CDS Index 177.90 -.22%
- iBoxx Offshore RMB China Corporate High Yield Index 142.30 +.04%
- 2-Year Swap Spread 25.75 -2.0 basis points
- TED Spread 29.25 +.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -41.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.93 +.38%
- 3-Month T-Bill Yield 1.07% unch.
- Yield Curve 78.0 -3.0 basis points
- China Import Iron Ore Spot $62.53/Metric Tonne +4.06%
- Citi US Economic Surprise Index 3.90 -3.3 points
- Citi Eurozone Economic Surprise Index 55.70 -.1 point
- Citi Emerging Markets Economic Surprise Index 22.30 -1.1 basis points
- 10-Year TIPS Spread 1.86 -3.0 basis points
- 76.9% chance of Fed rate hike at Dec. 13 meeting, 77.8% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +110 open in Japan
- China A50 Futures: Indicating +44 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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