Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.25 +3.6%
- Euro/Yen Carry Return Index 134.63 -.37%
- Emerging Markets Currency Volatility(VXY) 9.49 -1.96%
- S&P 500 Implied Correlation 39.68 +2.77%
- ISE Sentiment Index 97.0 +14.1%
- Total Put/Call 1.11 +7.8%
- NYSE Arms .74 -16.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.17 +.14%
- America Energy Sector High-Yield CDS Index 407.0 +.32%
- European Financial Sector CDS Index 89.75 +.83%
- Italian/German 10Y Yld Spread 308.75 +12.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.71 -.51%
- Emerging Market CDS Index 198.14 +.49%
- iBoxx Offshore RMB China Corporate High Yield Index 150.11 -.02%
- 2-Year Swap Spread 19.0 -.25 basis point
- TED Spread 15.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -46.25 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.38 +.08%
- 3-Month T-Bill Yield 2.30% +1.0 basis point
- Yield Curve 29.75 +.5 basis point
- China Iron Ore Spot 72.02 USD/Metric Tonne -.69%
- Citi US Economic Surprise Index -2.6 -2.1 points
- Citi Eurozone Economic Surprise Index -29.8 +.3 point
- Citi Emerging Markets Economic Surprise Index -1.8 +.8 point
- 10-Year TIPS Spread 2.13 unch.
- 80.7% chance of Fed rate hike at Dec. 19th meeting, 81.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +69 open in Japan
- China A50 Futures: Indicating -36 open in China
- DAX Futures: Indicating +21 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/retail/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 75% Net Long
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