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) 21.11 -9.6%
- Euro/Yen Carry Return Index 133.05 -.25%
- Emerging Markets Currency Volatility(VXY) 10.27 +2.8%
- S&P 500 Implied Correlation 42.0 -7.9%
- ISE Sentiment Index 72.0 -35.1%
- Total Put/Call 1.13 -5.1%
- NYSE Arms .95 +58.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.99 -2.28%
- America Energy Sector High-Yield CDS Index 5219.0 +1.33%
- European Financial Sector CDS Index 91.86 -2.01%
- Italian/German 10Y Yld Spread 304.25 -5.75 basis points
- Asia Pacific Sovereign Debt CDS Index 10.39 -1.38%
- Emerging Market CDS Index 206.78 +.87%
- iBoxx Offshore RMB China Corporate High Yield Index 150.15 +.10%
- 2-Year Swap Spread 20.0 +.5 basis point
- TED Spread 20.25 +1.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -44.50 +3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.18 -.46%
- 3-Month T-Bill Yield 2.32% unch.
- Yield Curve 28.25 +1.5 basis points
- China Iron Ore Spot 71.90 USD/Metric Tonne -.69%
- Citi US Economic Surprise Index 5.4 +6.4 points
- Citi Eurozone Economic Surprise Index -57.6 -3.3 points
- Citi Emerging Markets Economic Surprise Index -8.80 -5.9 points
- 10-Year TIPS Spread 2.06 unch.
- 74.2% chance of Fed rate hike at Dec. 19th meeting, 75.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -10 open in Japan
- China A50 Futures: Indicating +146 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Higher: On gains in my tech/biotech/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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