Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.65 +34.8%
- Euro/Yen Carry Return Index 136.23 -.35%
- Emerging Markets Currency Volatility(VXY) 10.73 +4.17%
- S&P 500 Implied Correlation 35.39 +2.9%
- ISE Sentiment Index 59.0 -42.72%
- Total Put/Call 1.07 +27.4%
- NYSE Arms .59 -6.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.02 +.06%
- America Energy Sector High-Yield CDS Index 381.0 +.97%
- European Financial Sector CDS Index 85.32 +.5%
- Italian/German 10Y Yld Spread 279.75 -4.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.69 +5.21%
- Emerging Market CDS Index 208.05 +6.46%
- iBoxx Offshore RMB China Corporate High Yield Index 150.57 -.09%
- 2-Year Swap Spread 17.25 +1.0 basis point
- TED Spread 19.0 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -39.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.94 -.78%
- 3-Month T-Bill Yield 2.21% -1.0 basis point
- Yield Curve 31.75 +2.25 basis points
- China Iron Ore Spot 68.25 USD/Metric Tonne -.19%
- Citi US Economic Surprise Index 11.1 +2.3 points
- Citi Eurozone Economic Surprise Index -33.6 +.4 point
- Citi Emerging Markets Economic Surprise Index -10.3 -.4 point
- 10-Year TIPS Spread 2.17 unch.
- 77.1% chance of Fed rate hike at Dec. 19th meeting, 78.7% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -230 open in Japan
- China A50 Futures: Indicating -533 open in China
- DAX Futures: Indicating -33 open in Germany
Portfolio:
- Lower: On losses in my retail/biotech/industrial/tech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 50% Net Long
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