Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.1 +4.5%
- Euro/Yen Carry Return Index 124.10 -.14%
- Emerging Markets Currency Volatility(VXY) 8.23 +.61%
- S&P 500 Implied Correlation 37.82 +3.99%
- ISE Sentiment Index 89.0 unch.
- Total Put/Call 1.03 +24.1%
- NYSE Arms 1.90 +4.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 51.89 +.97%
- America Energy Sector High-Yield CDS Index 369.0 +2.39%
- European Financial Sector CDS Index 57.75 -1.35%
- Italian/German 10Y Yld Spread 138.5 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 54.05 -1.45%
- Emerging Market CDS Index 203.53 -.72%
- iBoxx Offshore RMB China Corporate High Yield Index 165.63 +.08%
- 2-Year Swap Spread -3.25 -1.5 basis points
- TED Spread 21.0 +5.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.81 -.09%
- 3-Month T-Bill Yield 1.94% -4.0 basis points
- Yield Curve .08 unch.
- China Iron Ore Spot 91.75 USD/Metric Tonne -.73%
- Citi US Economic Surprise Index 38.80 +12.7 points
- Citi Eurozone Economic Surprise Index -27.70 -1.6 points
- Citi Emerging Markets Economic Surprise Index -8.6 -.2 point
- 10-Year TIPS Spread 1.60 -6.0 basis points
- 64.0% chance of Fed rate cut at Dec. 11th meeting, 79.7% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -48 open in Japan
- China A50 Futures: Indicating -44 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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