Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 22.3 -11.8%
- Euro/Yen Carry Return Index 133.07 +.08%
- Emerging Markets Currency Volatility(VXY) 10.03 +1.11%
- S&P 500 Implied Correlation 43.79 +6.0%
- ISE Sentiment Index 122.0 +106.7%
- Total Put/Call 1.01 -20.47%
- NYSE Arms .98 -47.59%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.36 -1.32%
- America Energy Sector High-Yield CDS Index 460.0 +3.0%
- European Financial Sector CDS Index 94.60 -2.64%
- Italian/German 10Y Yld Spread 309.5 -11.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.95 -2.12%
- Emerging Market CDS Index 202.07 -1.96%
- iBoxx Offshore RMB China Corporate High Yield Index 150.25 +.15%
- 2-Year Swap Spread 20.75 +.5 basis point
- TED Spread 17.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -44.25 -4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.59 +.11%
- 3-Month T-Bill Yield 2.32% -1.0 basis point
- Yield Curve 28.0 +1.25 basis points
- China Iron Ore Spot 72.80 USD/Metric Tonne -.21%
- Citi US Economic Surprise Index -4.7 -.4 point
- Citi Eurozone Economic Surprise Index -43.3 unch.
- Citi Emerging Markets Economic Surprise Index -6.0 -2.2 points
- 10-Year TIPS Spread 2.05 -2.0 basis points
- 74.7% chance of Fed rate hike at Dec. 19th meeting, 75.5% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +521 open in Japan
- China A50 Futures: Indicating +148 open in China
- DAX Futures: Indicating +51 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/retail/industrial 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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