Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.9 -9.6%
- Euro/Yen Carry Return Index 124.35 +.85%
- Emerging Markets Currency Volatility(VXY) 8.17 -.97%
- S&P 500 Implied Correlation 37.4 -11.5%
- ISE Sentiment Index 110.0 +11.1%
- Total Put/Call .96 -4.0%
- NYSE Arms .65 -7.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.16 -5.22%
- America Energy Sector High-Yield CDS Index 516.0 -1.21%
- European Financial Sector CDS Index 61.03 -7.27%
- Italian/German 10Y Yld Spread 138.25 -4.5 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.97 -4.29%
- Emerging Market CDS Index 204.08 -2.67%
- iBoxx Offshore RMB China Corporate High Yield Index 166.39 +.03%
- 2-Year Swap Spread 5.50 +2.5 basis points
- TED Spread 33.0 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -18.0 +8.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.68 +.36%
- 3-Month T-Bill Yield 1.66% -1.0 basis point
- Yield Curve .13 +1.0 basis point
- China Iron Ore Spot 88.00 USD/Metric Tonne +3.1%
- Citi US Economic Surprise Index 15.30 +4.3 points
- Citi Eurozone Economic Surprise Index -78.1 +.9 point
- Citi Emerging Markets Economic Surprise Index -17.90 -5.3 points
- 10-Year TIPS Spread 1.57 +5.0 basis points
- 80.6% chance of Fed rate cut at Dec. 11th meeting, 93.7% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +362 open in Japan
- China A50 Futures: Indicating +94 open in China
- DAX Futures: Indicating -21 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/industrial/medical/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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