Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.4 +13.0%
- Euro/Yen Carry Return Index 133.03 -.81%
- Emerging Markets Currency Volatility(VXY) 9.86 -1.0%
- S&P 500 Implied Correlation 44.07 +6.78%
- ISE Sentiment Index 71.0 -14.5%
- Total Put/Call 1.13 +8.65%
- NYSE Arms 1.96 +120.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.0 +3.18%
- America Energy Sector High-Yield CDS Index 442.0 +2.93%
- European Financial Sector CDS Index 97.16 +1.23%
- Italian/German 10Y Yld Spread 321.0 +2.75 basis points
- Asia Pacific Sovereign Debt CDS Index 10.17 +1.96%
- Emerging Market CDS Index 204.93 +1.24%
- iBoxx Offshore RMB China Corporate High Yield Index 150.02 -.05%
- 2-Year Swap Spread 20.25 +.25 basis point
- TED Spread 16.5 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -39.75 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.48 -.67%
- 3-Month T-Bill Yield 2.33% unch.
- Yield Curve 26.75 -2.75 basis points
- China Iron Ore Spot 72.54 USD/Metric Tonne -.67%
- Citi US Economic Surprise Index -4.3 -4.1 points
- Citi Eurozone Economic Surprise Index -43.3 -15.5 points
- Citi Emerging Markets Economic Surprise Index -3.8 -.4 point
- 10-Year TIPS Spread 2.07 -2.0 basis points
- 69.0% chance of Fed rate hike at Dec. 19th meeting, 70.1% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -540 open in Japan
- China A50 Futures: Indicating -98 open in China
- DAX Futures: Indicating -106 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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