Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 16.2 -4.9%
- Euro/Yen Carry Return Index 122.46 -.06%
- Emerging Markets Currency Volatility(VXY) 8.30 +1.47%
- S&P 500 Implied Correlation 41.40 -2.3%
- ISE Sentiment Index 87.0 +2.2%
- Total Put/Call 1.11 -5.1%
- NYSE Arms .89 -48.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.40 -.02%
- America Energy Sector High-Yield CDS Index 417.0 +3.89%
- European Financial Sector CDS Index 67.53 +3.29%
- Italian/German 10Y Yld Spread 141.75 -1.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 76.18 +2.58%
- Emerging Market CDS Index 211.69 -1.14%
- iBoxx Offshore RMB China Corporate High Yield Index 165.94 +.04%
- 2-Year Swap Spread -1.25 +1.0 basis points
- TED Spread 18.75 -3.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -12.75 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.44 -.23%
- 3-Month T-Bill Yield 1.88% -2.0 basis points
- Yield Curve .03 unch.
- China Iron Ore Spot 87.35 USD/Metric Tonne +.48%
- Citi US Economic Surprise Index 45.70 +4.8 points
- Citi Eurozone Economic Surprise Index -65.30 -.4 point
- Citi Emerging Markets Economic Surprise Index -7.8 unch.
- 10-Year TIPS Spread 1.60 +2.0 basis points
- 77.3% chance of Fed rate cut at Dec. 11th meeting, 87.5% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -105 open in Japan
- China A50 Futures: Indicating +43 open in China
- DAX Futures: Indicating +19 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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