Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.1 -3.3%
- Bloomberg Global Risk On/Risk Off Index 254.0 +51.0 points
- Euro/Yen Carry Return Index 129.1 -.03%
- Emerging Markets Currency Volatility(VXY) 11.7 +.3%
- S&P 500 Implied Correlation 47.8 -6.9%
- ISE Sentiment Index 129.0 +25.0 points
- Total Put/Call .77 +2.7%
- NYSE Arms .55 -3.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.84 -2.4%
- US Energy High-Yield OAS 816.71 -.87%
- European Financial Sector CDS Index 70.71 +.89%
- Italian/German 10Y Yld Spread 128.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 68.51 -3.0%
- Emerging Market CDS Index 207.49 -1.5%
- iBoxx Offshore RMB China Corporate High Yield Index 178.36 +.10%
- 2-Year Swap Spread 9.0 +.5 basis point
- TED Spread 14.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.25 -1.75 basis points
- MBS 5/10 Treasury Spread 85.75 +.75 basis points
- IHS Markit CMBX BBB- 6 67.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.43 +.05%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 62.75 +2.75 basis points
- China Iron Ore Spot 118.50 USD/Metric Tonne +.55%
- Citi US Economic Surprise Index 152.5 -2.7 points
- Citi Eurozone Economic Surprise Index 47.60 unch.
- Citi Emerging Markets Economic Surprise Index 46.1 -.7 point
- 10-Year TIPS Spread 1.72 +2.0 basis points
- 100.0% chance of no change at Dec. 16th meeting, 100.0% chance of no change at Jan. 27th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +33 open in Japan
- China A50 Futures: Indicating +321 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial/consumer staple/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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