Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.7 +2.4%
- Bloomberg Global Risk On/Risk Off Index 306.0 -133.0 points
- Euro/Yen Carry Return Index 128.02 -.26%
- Emerging Markets Currency Volatility(VXY) 11.21 -1.15%
- S&P 500 Implied Correlation 44.7 +11.4%
- ISE Sentiment Index 121.0 -4.0 points
- Total Put/Call .69 -8.0%
- NYSE Arms .59 -63.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.74 +1.75%
- US Energy High-Yield OAS 805.87 -.65%
- European Financial Sector CDS Index 70.68 +2.93%
- Italian/German 10Y Yld Spread 124.0 +3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 64.95 +2.2%
- Emerging Market CDS Index 207.60 +2.57%
- iBoxx Offshore RMB China Corporate High Yield Index 178.96 +.07%
- 2-Year Swap Spread 9.25 +.25 basis point
- TED Spread 13.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 unch.
- MBS 5/10 Treasury Spread 86.0 +.25 basis point
- IHS Markit CMBX BBB- 6 68.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.41 -.03%
- 3-Month T-Bill Yield .10% +1.0 basis point
- Yield Curve 59.25 -2.0 basis points
- China Iron Ore Spot 114.83 USD/Metric Tonne -2.25%
- Citi US Economic Surprise Index 137.6 +.2 point
- Citi Eurozone Economic Surprise Index 35.80 -2.1 points
- Citi Emerging Markets Economic Surprise Index 44.2 +1.1 points
- 10-Year TIPS Spread 1.69 -1.0 basis point
- 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 -31 open in Japan
- China A50 Futures: Indicating -79 open in China
- DAX Futures: Indicating -66 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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