Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.9 +7.3%
- Euro/Yen Carry Return Index 132.97 +.22%
- Emerging Markets Currency Volatility(VXY) 9.91 -.90%
- S&P 500 Implied Correlation 45.32 +4.69%
- ISE Sentiment Index 79.0 -9.2%
- Total Put/Call 1.12 -14.5%
- NYSE Arms 1.24 +12.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.83 +1.13%
- America Energy Sector High-Yield CDS Index 490.0 +2.15%
- European Financial Sector CDS Index 93.13 -2.31%
- Italian/German 10Y Yld Spread 296.0 -13.5 basis points
- Asia Pacific Sovereign Debt CDS Index 10.44 +1.71%
- Emerging Market CDS Index 208.85 +2.44%
- iBoxx Offshore RMB China Corporate High Yield Index 150.25 +.02%
- 2-Year Swap Spread 20.5 -.25 basis point
- TED Spread 20.75 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -49.75 -3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.42 -.45%
- 3-Month T-Bill Yield 2.30% -2.0 basis points
- Yield Curve 27.0 unch.
- China Iron Ore Spot 74.35 USD/Metric Tonne -.34%
- Citi US Economic Surprise Index -1.9 +1.6 points
- Citi Eurozone Economic Surprise Index -39.6 +2.7 points
- Citi Emerging Markets Economic Surprise Index -4.50 +1.6 points
- 10-Year TIPS Spread 2.06 -1.0 basis point
- 71.8% chance of Fed rate hike at Dec. 19th meeting, 72.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -150 open in Japan
- China A50 Futures: Indicating -96 open in China
- DAX Futures: Indicating -100 open in Germany
Portfolio:
- Slightly Higher: On gains in my (IWM)/(QQQ) hedges and my emerging markets shorts
- Disclosed Trades:Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: 25% Net Long
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