Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.9 +11.5%
- Euro/Yen Carry Return Index 122.54 +.21%
- Emerging Markets Currency Volatility(VXY) 8.12 -.25%
- S&P 500 Implied Correlation 44.5 +8.5%
- ISE Sentiment Index 82.0 +13.5%
- Total Put/Call 1.05 +.96%
- NYSE Arms 1.13 -14.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.56 +1.64%
- America Energy Sector High-Yield CDS Index 424.0 -1.56%
- European Financial Sector CDS Index 66.29 -1.68%
- Italian/German 10Y Yld Spread 139.75 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 76.71 +.70%
- Emerging Market CDS Index 211.63 +.13%
- iBoxx Offshore RMB China Corporate High Yield Index 166.0 +.04%
- 2-Year Swap Spread .75 +2.0 basis points
- TED Spread 32.75 +8.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -31.75 -21.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.30 -.05%
- 3-Month T-Bill Yield 1.78% -2.0 basis points
- Yield Curve .03 +2.0 basis points
- China Iron Ore Spot 87.51 USD/Metric Tonne -2.1%
- Citi US Economic Surprise Index 44.30 -.6 point
- Citi Eurozone Economic Surprise Index -74.90 -11.3 points
- Citi Emerging Markets Economic Surprise Index -8.1 -.1 point
- 10-Year TIPS Spread 1.54 -3.0 basis points
- 74.7% chance of Fed rate cut at Dec. 11th meeting, 85.9% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -158 open in Japan
- China A50 Futures: Indicating -193 open in China
- DAX Futures: Indicating -85 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/industrial/medical/retail/tech 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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