Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 20.4 +9.8%
- Euro/Yen Carry Return Index 121.97 -.28%
- Emerging Markets Currency Volatility(VXY) 8.12 unch.
- S&P 500 Implied Correlation 49.40 +9.1%
- ISE Sentiment Index 48.0 -23.3%
- Total Put/Call 1.29 +17.3%
- NYSE Arms 1.07 -45.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.76 +3.99%
- America Energy Sector High-Yield CDS Index 514.0 +11.6%
- European Financial Sector CDS Index 67.14 +4.78%
- Italian/German 10Y Yld Spread 144.75 +2.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 78.28 +2.58%
- Emerging Market CDS Index 213.44 +1.54%
- iBoxx Offshore RMB China Corporate High Yield Index 166.05 +.03%
- 2-Year Swap Spread 3.5 +1.0 basis points
- TED Spread 32.5 +2.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -29.25 +3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.15 +.18%
- 3-Month T-Bill Yield 1.75% -2.0 basis points
- Yield Curve .11 +2.0 basis points
- China Iron Ore Spot 88.10 USD/Metric Tonne -.74%
- Citi US Economic Surprise Index 33.10 +2.9 points
- Citi Eurozone Economic Surprise Index -69.30 +1.1 points
- Citi Emerging Markets Economic Surprise Index -9.0 -1.5 points
- 10-Year TIPS Spread 1.50 -2.0 basis points
- 90.3% chance of Fed rate cut at Dec. 11th meeting, 95.5% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -413 open in Japan
- China A50 Futures: Indicating -124 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- 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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