Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 28.3 +3.3%
- Bloomberg Global Risk On/Risk Off Index 87.0 -75.0 points
- Euro/Yen Carry Return Index 128.66 +.6%
- Emerging Markets Currency Volatility(VXY) 11.0 unch.
- S&P 500 Implied Correlation 50.9 +10.1%
- ISE Sentiment Index 90.0 -34.0 points
- Total Put/Call .69 -20.7%
- NYSE Arms .88 +15.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.64 +1.98%
- US Energy High-Yield OAS 807.47 -.23%
- European Financial Sector CDS Index 72.44 +.98%
- Italian/German 10Y Yld Spread 135.0 +8.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.32 -2.24%
- Emerging Market CDS Index 206.74 +.61%
- iBoxx Offshore RMB China Corporate High Yield Index 179.26 +.09%
- 2-Year Swap Spread 8.75 unch.
- TED Spread 12.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -10.75 -1.5 basis points
- MBS 5/10 Treasury Spread 81.75 -.5 basis point
- IHS Markit CMBX BBB- 6 68.25 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.49 +.32%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 60.75 +1.5 basis points
- China Iron Ore Spot 116.20 USD/Metric Tonne +.66%
- Citi US Economic Surprise Index 130.6 -3.6 points
- Citi Eurozone Economic Surprise Index 21.70 -9.8 points
- Citi Emerging Markets Economic Surprise Index 41.40 -1.6 points
- 10-Year TIPS Spread 1.71 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 -71 open in Japan
- China A50 Futures: Indicating -33 open in China
- DAX Futures: Indicating -55 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs and index hedges
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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