Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.36 +15.1%
- Euro/Yen Carry Return Index 136.32 -.09%
- Emerging Markets Currency Volatility(VXY) 10.93 +1.02%
- S&P 500 Implied Correlation 37.05 +11.2%
- ISE Sentiment Index 81.0 +22.7%
- Total Put/Call 1.13 +6.6%
- NYSE Arms .69 +42.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.26 +1.83%
- America Energy Sector High-Yield CDS Index 386.0 +1.59%
- European Financial Sector CDS Index 87.05 +1.86%
- Italian/German 10Y Yld Spread 285.0 +5.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.75 +.57%
- Emerging Market CDS Index 211.97 +2.14%
- iBoxx Offshore RMB China Corporate High Yield Index 150.68 +.08%
- 2-Year Swap Spread 17.75 +.5 basis point
- TED Spread 19.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -39.25 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.15 +.20%
- 3-Month T-Bill Yield 2.21% unch.
- Yield Curve 34.0 +2.25 basis points
- China Iron Ore Spot 68.33 USD/Metric Tonne unch.
- Citi US Economic Surprise Index 6.4 -4.7 points
- Citi Eurozone Economic Surprise Index -29.3 +4.3 points
- Citi Emerging Markets Economic Surprise Index -12.1 -1.8 points
- 10-Year TIPS Spread 2.17 unch.
- 76.9% chance of Fed rate hike at Dec. 19th meeting, 78.0% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -123 open in Japan
- China A50 Futures: Indicating -416 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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