Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 19.4 -8.5%
- Euro/Yen Carry Return Index 133.67 +.56%
- Emerging Markets Currency Volatility(VXY) 10.15 -.98%
- S&P 500 Implied Correlation 43.63 -5.4%
- ISE Sentiment Index 97.0 +12.79%
- Total Put/Call .85 -23.4%
- NYSE Arms 1.27 +33.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.74 -1.5%
- America Energy Sector High-Yield CDS Index 522.0 -.27%
- European Financial Sector CDS Index 89.23 -2.91%
- Italian/German 10Y Yld Spread 298.25 -6.0 basis points
- Asia Pacific Sovereign Debt CDS Index 10.38 -.1%
- Emerging Market CDS Index 200.06 -2.85%
- iBoxx Offshore RMB China Corporate High Yield Index 149.55 -.41%
- 2-Year Swap Spread 21.25 +1.25 basis points
- TED Spread 22.25 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -40.75 +3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.72 +.89%
- 3-Month T-Bill Yield 2.32% unch.
- Yield Curve 29.0 +.75 basis point
- China Iron Ore Spot 71.40 USD/Metric Tonne +.58%
- Citi US Economic Surprise Index .2 -5.2 points
- Citi Eurozone Economic Surprise Index -57.1 +.5 point
- Citi Emerging Markets Economic Surprise Index -7.20 +1.6 points
- 10-Year TIPS Spread 2.03-3.0 basis points
- 72.0% chance of Fed rate hike at Dec. 19th meeting, 73.7% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +22 open in Japan
- China A50 Futures: Indicating +402 open in China
- DAX Futures: Indicating -18 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical/industrial/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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