Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.2 -2.3%
- Euro/Yen Carry Return Index 123.41 +.78%
- Emerging Markets Currency Volatility(VXY) 8.27 +.73%
- S&P 500 Implied Correlation 44.0 -3.5%
- ISE Sentiment Index 99.0 -13.1%
- Total Put/Call 1.03 -4.6%
- NYSE Arms .86 +14.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.28 -2.6%
- America Energy Sector High-Yield CDS Index 524.0 -.4%
- European Financial Sector CDS Index 65.81 -3.52%
- Italian/German 10Y Yld Spread 142.75 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 78.14 -.32%
- Emerging Market CDS Index 210.18 -1.34%
- iBoxx Offshore RMB China Corporate High Yield Index 166.34 -.01%
- 2-Year Swap Spread 3.0 +.5 -.5 basis point
- TED Spread 34.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.43 +.33%
- 3-Month T-Bill Yield 1.67% unch.
- Yield Curve .12 +1.0 basis point
- China Iron Ore Spot 85.90 USD/Metric Tonne -3.3%
- Citi US Economic Surprise Index 11.0 -6.7 points
- Citi Eurozone Economic Surprise Index -79.0 -2.3 points
- Citi Emerging Markets Economic Surprise Index -12.60 -1.4 points
- 10-Year TIPS Spread 1.52 +3.0 basis points
- 89.8% chance of Fed rate cut at Dec. 11th meeting, 93.7% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +124 open in Japan
- China A50 Futures: Indicating +73 open in China
- DAX Futures: Indicating -25 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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