Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.5 +.1%
- Euro/Yen Carry Return Index 125.50 +.15%
- Emerging Markets Currency Volatility(VXY) 7.54 -1.6%
- S&P 500 Implied Correlation 32.2 -.22%
- ISE Sentiment Index 78.0 -16.1%
- Total Put/Call .91 -4.2%
- NYSE Arms .91 -7.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.71 +.63%
- America Energy Sector High-Yield CDS Index 492.0 -.28%
- European Financial Sector CDS Index 57.21 +.41%
- Italian/German 10Y Yld Spread 133.0 +3.75 basis points
- Asia Ex-Japan Investment Grade CDS Index 69.40 -.04%
- Emerging Market CDS Index 198.55 -1.89%
- iBoxx Offshore RMB China Corporate High Yield Index 166.97 +.07%
- 2-Year Swap Spread 3.75 +1.75 basis points
- TED Spread 28.75 -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -24.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.30 +.31%
- 3-Month T-Bill Yield 1.65% +2.0 basis points
- Yield Curve .18 unch.
- China Iron Ore Spot 83.47 USD/Metric Tonne -.76%
- Citi US Economic Surprise Index 6.0 -.6 point
- Citi Eurozone Economic Surprise Index -57.3 -1.4 points
- Citi Emerging Markets Economic Surprise Index -20.80 -.3 basis point
- 10-Year TIPS Spread 1.62 +1.0 basis point
- 94.9% chance of Fed rate cut at Dec. 11th meeting, 96.7% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +155 open in Japan
- China A50 Futures: Indicating +42 open in China
- DAX Futures: Indicating -5 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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