Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 23.6 -4.2%
- Euro/Yen Carry Return Index 133.29 +.30%
- Emerging Markets Currency Volatility(VXY) 9.94 -1.19%
- S&P 500 Implied Correlation 44.33 +8.25%
- ISE Sentiment Index 100.0 +31.5%
- Total Put/Call 1.17 -7.1%
- NYSE Arms .62 -38.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.98 -.93%
- America Energy Sector High-Yield CDS Index 520.0 +4.29%
- European Financial Sector CDS Index 93.75 +.61%
- Italian/German 10Y Yld Spread 310.0 +14.75 basis points
- Asia Pacific Sovereign Debt CDS Index 10.55 +1.05%
- Emerging Market CDS Index 205.97 -.98%
- iBoxx Offshore RMB China Corporate High Yield Index 150.0 -.16%
- 2-Year Swap Spread 19.5 -1.0 basis point
- TED Spread 19.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -48.0 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.49 +.14%
- 3-Month T-Bill Yield 2.32% +2.0 basis points
- Yield Curve 26.75 -.25 basis point
- China Iron Ore Spot 74.14 USD/Metric Tonne -1.15%
- Citi US Economic Surprise Index -1.0 +.9 point
- Citi Eurozone Economic Surprise Index -54.3 -14.7 points
- Citi Emerging Markets Economic Surprise Index -2.90 +1.6 points
- 10-Year TIPS Spread 2.06 unch.
- 71.8% chance of Fed rate hike at Dec. 19th meeting, 72.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +160 open in Japan
- China A50 Futures: Indicating +2 open in China
- DAX Futures: Indicating +36 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical/retail/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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