Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.5 +4.5%
- Euro/Yen Carry Return Index 134.14 -.26%
- Emerging Markets Currency Volatility(VXY) 9.97 +2.26%
- S&P 500 Implied Correlation 42.01 +1.0%
- ISE Sentiment Index 80.0 -10.11%
- Total Put/Call 1.09 +2.8%
- NYSE Arms .85 -35.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.89 +.02%
- America Energy Sector High-Yield CDS Index 431.0 +2.48%
- European Financial Sector CDS Index 95.98 +5.32%
- Italian/German 10Y Yld Spread 318.25 +14.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.05 +2.45%
- Emerging Market CDS Index 202.22 -.13%
- iBoxx Offshore RMB China Corporate High Yield Index 150.09 -.15%
- 2-Year Swap Spread 20.0 +.5 basis point
- TED Spread 17.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -42.25 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.84 -.21%
- 3-Month T-Bill Yield 2.33%+3.0 basis points
- Yield Curve 29.5 +1.0 basis point
- China Iron Ore Spot 71.37 USD/Metric Tonne -.24%
- Citi US Economic Surprise Index -.2 +.3 point
- Citi Eurozone Economic Surprise Index -27.8 +.4 point
- Citi Emerging Markets Economic Surprise Index -3.4 +1.0 point
- 10-Year TIPS Spread 2.09 -2.0 basis points
- 76.6% chance of Fed rate hike at Dec. 19th meeting, 77.4% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +170 open in Japan
- China A50 Futures: Indicating +86 open in China
- DAX Futures: Indicating +135 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail sector longs, index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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