Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.54 +2.4%
- Euro/Yen Carry Return Index 134.66 +.77%
- Emerging Markets Currency Volatility(VXY) 9.92 +1.95%
- S&P 500 Implied Correlation 41.85 +2.2%
- ISE Sentiment Index 73.0 +4.29%
- Total Put/Call 1.13 -13.7%
- NYSE Arms .93 -28.46%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.98 +.49%
- America Energy Sector High-Yield CDS Index 417.0 +.38%
- European Financial Sector CDS Index 92.90 -1.70%
- Italian/German 10Y Yld Spread 302.25 -6.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.81 +.10%
- Emerging Market CDS Index 203.80 -1.28%
- iBoxx Offshore RMB China Corporate High Yield Index 149.92 -.18%
- 2-Year Swap Spread 20.25 -2.0 basis points
- TED Spread 15.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -45.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.04 +.21%
- 3-Month T-Bill Yield 2.30% unch.
- Yield Curve 28.75 -2.5 basis points
- China Iron Ore Spot 72.0 USD/Metric Tonne +.66%
- Citi US Economic Surprise Index -1.7 +.2 point
- Citi Eurozone Economic Surprise Index -29.2 +.3 point
- Citi Emerging Markets Economic Surprise Index -4.0 -2.3 points
- 10-Year TIPS Spread 2.12 +1.0 basis point
- 79.6% chance of Fed rate hike at Dec. 19th meeting, 80.9% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -2 open in Japan
- China A50 Futures: Indicating -80 open in China
- DAX Futures: Indicating -17 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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