Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 29.1 -1.0%
- Bloomberg Global Risk On/Risk Off Index 172.0 +89.0 points
- Euro/Yen Carry Return Index 128.5 -.56%
- Emerging Markets Currency Volatility(VXY) 11.0 +.46%
- S&P 500 Implied Correlation 53.1 +.11%
- ISE Sentiment Index 104.0 -5.0 points
- Total Put/Call .90 +16.9%
- NYSE Arms .69 -10.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.25 -.91%
- US Energy High-Yield OAS 805.25 -.02%
- European Financial Sector CDS Index 72.09 -.61%
- Italian/German 10Y Yld Spread 137.0 +4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.68 -.53%
- Emerging Market CDS Index 201.99 -.96%
- iBoxx Offshore RMB China Corporate High Yield Index 179.84 +.19%
- 2-Year Swap Spread 8.75 -.25 basis point
- TED Spread 11.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -13.5 -1.75 basis points
- MBS 5/10 Treasury Spread 81.75 +.25 basis point
- IHS Markit CMBX BBB- 6 68.25 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.88 +.45%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 67.25 +5.25 basis points
- China Iron Ore Spot 117.5 USD/Metric Tonne +1.12%
- Citi US Economic Surprise Index 125.9 -2.2 points
- Citi Eurozone Economic Surprise Index 7.90 -8.5 points
- Citi Emerging Markets Economic Surprise Index 40.90 +.1 point
- 10-Year TIPS Spread 1.73 unch.
- 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 -60 open in Japan
- China A50 Futures: Indicating -4 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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