Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.3 +8.9%
- Euro/Yen Carry Return Index 123.10 -.62%
- Emerging Markets Currency Volatility(VXY) 8.28 +.12%
- S&P 500 Implied Correlation 39.0 +6.8%
- ISE Sentiment Index 70.0 -14.3%
- Total Put/Call 1.02 -10.5%
- NYSE Arms 1.0 -33.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.12 (new series)
- America Energy Sector High-Yield CDS Index 378.0 -1.59%
- European Financial Sector CDS Index 63.19 (new series)
- Italian/German 10Y Yld Spread 144.5 +5.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 72.2 (new series)
- Emerging Market CDS Index 204.29 +1.36%
- iBoxx Offshore RMB China Corporate High Yield Index 165.67 +.02%
- 2-Year Swap Spread -4.25 +.5 basis point
- TED Spread 25.75 +1.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -1.25 +6.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.61 -.14%
- 3-Month T-Bill Yield 1.89% -5.0 basis points
- Yield Curve .04 +1.0 basis point
- China Iron Ore Spot 89.75 USD/Metric Tonne +1.3%
- Citi US Economic Surprise Index 41.70 +.4 point
- Citi Eurozone Economic Surprise Index -26.40 +.6 point
- Citi Emerging Markets Economic Surprise Index -9.3 -.2 point
- 10-Year TIPS Spread 1.62 +2.0 basis points
- 65.3% chance of Fed rate cut at Dec. 11th meeting, 76.9% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -139 open in Japan
- China A50 Futures: Indicating -127 open in China
- DAX Futures: Indicating +6 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/biotech sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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