Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.10 +15.7%
- Euro/Yen Carry Return Index 133.69 -.77%
- Emerging Markets Currency Volatility(VXY) 9.70 +2.32%
- S&P 500 Implied Correlation 40.96 +3.7%
- ISE Sentiment Index 60.0 -30.2%
- Total Put/Call 1.31 +12.9%
- NYSE Arms 1.22 +62.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.99 +4.59%
- America Energy Sector High-Yield CDS Index 414.0 +1.82%
- European Financial Sector CDS Index 94.31 +5.09%
- Italian/German 10Y Yld Spread 308.75 +18.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.78 +.62%
- Emerging Market CDS Index 205.25 +2.84%
- iBoxx Offshore RMB China Corporate High Yield Index 150.20 +.06%
- 2-Year Swap Spread 22.25 +3.25 basis points
- TED Spread 15.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -46.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.90 -.64%
- 3-Month T-Bill Yield 2.30% unch.
- Yield Curve 30.25 +.5 basis point
- China Iron Ore Spot 71.86 USD/Metric Tonne -.32%
- Citi US Economic Surprise Index -1.9 +.7 point
- Citi Eurozone Economic Surprise Index -29.5 +.3 point
- Citi Emerging Markets Economic Surprise Index -1.7 +.1 point
- 10-Year TIPS Spread 2.11 -2.0 basis points
- 72.0% chance of Fed rate hike at Dec. 19th meeting, 73.7% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -383 open in Japan
- China A50 Futures: Indicating -117 open in China
- DAX Futures: Indicating -81 open in Germany
Portfolio:
- Lower: On losses in my industrial/retail/tech/biotech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 50% Net Long
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