Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.43 +2.45%
- Euro/Yen Carry Return Index 134.62 +.46%
- Emerging Markets Currency Volatility(VXY) 10.10 +.20%
- S&P 500 Implied Correlation 42.79 +2.12%
- ISE Sentiment Index 45.0 -50.55%
- Total Put/Call 1.15 +12.8%
- NYSE Arms 1.12 +41.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.73 -.89%
- America Energy Sector High-Yield CDS Index 541.0 +.58%
- European Financial Sector CDS Index 87.58 +1.15%
- Italian/German 10Y Yld Spread 296.25 +6.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.74 -2.01%
- Emerging Market CDS Index 190.66 -.55%
- iBoxx Offshore RMB China Corporate High Yield Index 147.40 -.43%
- 2-Year Swap Spread 19.0 -.5 basis point
- TED Spread 25.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -41.75 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.17 +.01%
- 3-Month T-Bill Yield 2.34% +3.0 basis points
- Yield Curve 29.0 -.25 basis point
- China Iron Ore Spot 71.60 USD/Metric Tonne -.32%
- Citi US Economic Surprise Index 9.80 -.2 point
- Citi Eurozone Economic Surprise Index -47.5 +8.6 points
- Citi Emerging Markets Economic Surprise Index -9.30 +.7 point
- 10-Year TIPS Spread 2.07 unch.
- 76.3% chance of Fed rate hike at Dec. 19th meeting, 77.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +53 open in Japan
- China A50 Futures: Indicating unch. open in China
- DAX Futures: Indicating +25 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/industrial sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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