Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.01 -6.1%
- Euro/Yen Carry Return Index 134.79 -.09%
- Emerging Markets Currency Volatility(VXY) 10.23 -2.48%
- S&P 500 Implied Correlation 39.21 -.76%
- ISE Sentiment Index 79.0 -7.06%
- Total Put/Call .94 -19.66%
- NYSE Arms .83 +10.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 65.10 +.90%
- America Energy Sector High-Yield CDS Index 404.0 +.40%
- European Financial Sector CDS Index 92.57 -.33%
- Italian/German 10Y Yld Spread 304.25 -3.75 basis points
- Asia Pacific Sovereign Debt CDS Index 9.85 +.41%
- Emerging Market CDS Index 201.91 -2.08%
- iBoxx Offshore RMB China Corporate High Yield Index 150.41 +.06%
- 2-Year Swap Spread 20.0 +1.0 basis point
- TED Spread 17.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -46.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.93 +.43%
- 3-Month T-Bill Yield 2.27% +1.0 basis point
- Yield Curve 30.25 +.25 basis point
- China Iron Ore Spot 69.04 USD/Metric Tonne -.04%
- Citi US Economic Surprise Index -5.4 -3.5 points
- Citi Eurozone Economic Surprise Index -22.6 +2.2 points
- Citi Emerging Markets Economic Surprise Index -2.6 -.6 point
- 10-Year TIPS Spread 2.13 +1.0 basis point
- 77.2% chance of Fed rate hike at Dec. 19th meeting, 78.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +134 open in Japan
- China A50 Futures: Indicating +83 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/retail sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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