Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.1 +.8%
- Euro/Yen Carry Return Index 122.34 -.08%
- Emerging Markets Currency Volatility(VXY) 8.24 -.23%
- S&P 500 Implied Correlation 40.3 -2.4%
- ISE Sentiment Index 65.0 -12.3%
- Total Put/Call 1.08 +3.9%
- NYSE Arms 1.33 +51.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.44 +.17%
- America Energy Sector High-Yield CDS Index 412.0 +2.93%
- European Financial Sector CDS Index 67.42 -.16%
- Italian/German 10Y Yld Spread 140.75 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 76.13 +.47%
- Emerging Market CDS Index 211.89 +1.83%
- iBoxx Offshore RMB China Corporate High Yield Index 165.93 -.01%
- 2-Year Swap Spread -1.25 unch.
- TED Spread 24.75 +6.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -10.5 +2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.35 -.15%
- 3-Month T-Bill Yield 1.80% -8.0 basis points
- Yield Curve .01 -2.0 basis points
- China Iron Ore Spot 89.0 USD/Metric Tonne +.32%
- Citi US Economic Surprise Index 44.90 -.8 point
- Citi Eurozone Economic Surprise Index -63.60 +1.7 points
- Citi Emerging Markets Economic Surprise Index -8.0 -.2 point
- 10-Year TIPS Spread 1.57 -3.0 basis points
- 73.5% chance of Fed rate cut at Dec. 11th meeting, 85.3% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -68 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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