Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.2 +.8%
- Euro/Yen Carry Return Index 125.59 +.02%
- Emerging Markets Currency Volatility(VXY) 7.11 -.56%
- S&P 500 Implied Correlation 31.16 +3.73%
- ISE Sentiment Index 98.0 -7.0
- Total Put/Call .92 +13.6%
- NYSE Arms .76 -24.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.0 +1.21%
- America Energy Sector High-Yield CDS Index 492.0 -1.68%
- European Financial Sector CDS Index 58.58 +2.06%
- Italian/German 10Y Yld Spread 133.75 unch.
- Asia Ex-Japan Investment Grade CDS Index 66.13 -1.69%
- Emerging Market CDS Index 192.88 +.79%
- iBoxx Offshore RMB China Corporate High Yield Index 167.11 +.02%
- 2-Year Swap Spread 2.75 -.25 basis point
- TED Spread 33.25 +6.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -21.5 +1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.34 -.05%
- 3-Month T-Bill Yield 1.60% -4.0 basis points
- Yield Curve .20 +2.0 basis points
- China Iron Ore Spot 83.15 USD/Metric Tonne -.81%
- Citi US Economic Surprise Index 1.4 -1.6 points
- Citi Eurozone Economic Surprise Index -52.30 +.2 point
- Citi Emerging Markets Economic Surprise Index -17.0 -.4 basis point
- 10-Year TIPS Spread 1.62 -3.0 basis points
- 95.6% chance of Fed rate cut at Dec. 11th meeting, 96.6% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -29 open in Japan
- China A50 Futures: Indicating -8 open in China
- DAX Futures: Indicating -13 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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