Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.99 +8.5%
- Euro/Yen Carry Return Index 133.99 +.20%
- Emerging Markets Currency Volatility(VXY) 10.20 +.89%
- S&P 500 Implied Correlation 45.325 +8.39%
- ISE Sentiment Index 109.0 +12.37%
- Total Put/Call .94 +13.25%
- NYSE Arms 1.35 +11.6%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.45 -1.15%
- America Energy Sector High-Yield CDS Index 532.0 +2.01%
- European Financial Sector CDS Index 87.18 -2.30%
- Italian/German 10Y Yld Spread 289.25 -9.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.91 -4.53%
- Emerging Market CDS Index 193.85 -3.01%
- iBoxx Offshore RMB China Corporate High Yield Index 147.46 -1.39%
- 2-Year Swap Spread 20.5 -.25 basis point
- TED Spread 24.75 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -37.25 +3.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.97 +.41%
- 3-Month T-Bill Yield 2.31% -1.0 basis point
- Yield Curve 30.50 +1.5 basis points
- China Iron Ore Spot 70.84 USD/Metric Tonne +.07%
- Citi US Economic Surprise Index 6.1 +5.9 points
- Citi Eurozone Economic Surprise Index -56.7 +.4 point
- Citi Emerging Markets Economic Surprise Index -9.90 +2.7 points
- 10-Year TIPS Spread 2.05 +2.0 basis points
- 74.6% chance of Fed rate hike at Dec. 19th meeting, 75.6% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -353 open in Japan
- China A50 Futures: Indicating -115 open in China
- DAX Futures: Indicating -20 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/industrial sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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