Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.6 +11.9%
- Euro/Yen Carry Return Index 135.01 -.92%
- Emerging Markets Currency Volatility(VXY) 10.56 -3.91%
- S&P 500 Implied Correlation 37.08 -.93%
- ISE Sentiment Index 75.0 -2.6%
- Total Put/Call 1.20 +.84%
- NYSE Arms .48 -39.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.61 +.60%
- America Energy Sector High-Yield CDS Index 389.0 +.55%
- European Financial Sector CDS Index 89.51 +2.83%
- Italian/German 10Y Yld Spread 304.0 +19.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.85 +1.08%
- Emerging Market CDS Index 212.18 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 150.63 -.04%
- 2-Year Swap Spread 17.75 unch.
- TED Spread 20.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.0 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.16 +.04%
- 3-Month T-Bill Yield 2.21% unch.
- Yield Curve 34.75 unch.
- China Iron Ore Spot 68.84 USD/Metric Tonne +1.16%
- Citi US Economic Surprise Index 6.9 +.5 point
- Citi Eurozone Economic Surprise Index -29.2 +.1 point
- Citi Emerging Markets Economic Surprise Index -11.2 +.9 point
- 10-Year TIPS Spread 2.17 unch.
- 76.5% chance of Fed rate hike at Dec. 19th meeting, 78.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -190 open in Japan
- China A50 Futures: Indicating -57 open in China
- DAX Futures: Indicating -8 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 75% Net Long
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