Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 13.2 -4.1%
- Euro/Yen Carry Return Index 125.04 -.15%
- Emerging Markets Currency Volatility(VXY) 7.16 -2.98%
- S&P 500 Implied Correlation 30.9 -6.0%
- ISE Sentiment Index 76.0 +1.2%
- Total Put/Call .84 +9.1%
- NYSE Arms .83 -46.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.67 -1.4%
- America Energy Sector High-Yield CDS Index 496.0 -.18%
- European Financial Sector CDS Index 57.63 -.65%
- Italian/German 10Y Yld Spread 131.5 +.5 basis point
- Asia Ex-Japan Investment Grade CDS Index 68.29 -1.15%
- Emerging Market CDS Index 191.17 -2.19%
- iBoxx Offshore RMB China Corporate High Yield Index 166.90 -.03%
- 2-Year Swap Spread 2.75 -.75 basis point
- TED Spread 27.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.22 +.16%
- 3-Month T-Bill Yield 1.66% unch.
- Yield Curve .18 unch.
- China Iron Ore Spot 86.40 USD/Metric Tonne +.9%
- Citi US Economic Surprise Index 4.9 -.7 point
- Citi Eurozone Economic Surprise Index -56.1 +1.2 points
- Citi Emerging Markets Economic Surprise Index -19.50 +1.4 basis points
- 10-Year TIPS Spread 1.65 +3.0 basis points
- 93.3% chance of Fed rate cut at Dec. 11th meeting, 95.4% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +41 open in Japan
- China A50 Futures: Indicating +31 open in China
- DAX Futures: Indicating -9 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 100% Net Long
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