Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.6 +3.5%
- Euro/Yen Carry Return Index 122.27 +.32%
- Emerging Markets Currency Volatility(VXY) 8.12 +1.37%
- S&P 500 Implied Correlation 42.54 +1.09%
- ISE Sentiment Index 82.0 +12.3%
- Total Put/Call .95 -5.34%
- NYSE Arms 1.28 +39.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.78 -.11%
- America Energy Sector High-Yield CDS Index 492.0 -.71%
- European Financial Sector CDS Index 67.68 -.90%
- Italian/German 10Y Yld Spread 142.75 +1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 78.47 -.63%
- Emerging Market CDS Index 213.35 +1.87%
- iBoxx Offshore RMB China Corporate High Yield Index 166.21 +.07%
- 2-Year Swap Spread 2.75 unch.
- TED Spread 34.0 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -23.75 +3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.67 +.29%
- 3-Month T-Bill Yield 1.70% +1.0 basis point
- Yield Curve .13 +1.0 basis point
- China Iron Ore Spot 88.60 USD/Metric Tonne +.12%
- Citi US Economic Surprise Index 20.90 -2.3 points
- Citi Eurozone Economic Surprise Index -77.70 -1.0 point
- Citi Emerging Markets Economic Surprise Index -10.80 -1.4 points
- 10-Year TIPS Spread 1.51 +1.0 basis point
- 88.5% chance of Fed rate cut at Dec. 11th meeting, 95.1% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +140 open in Japan
- China A50 Futures: Indicating -54 open in China
- DAX Futures: Indicating -16 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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