Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 28.0 -4.9%
- Bloomberg Global Risk On/Risk Off Index 193.0 +177.0 points
- Euro/Yen Carry Return Index 129.2 +.6%
- Emerging Markets Currency Volatility(VXY) 11.7 +.7%
- S&P 500 Implied Correlation 49.6 -8.3%
- ISE Sentiment Index 104.0 +10.0 points
- Total Put/Call .74 -11.9%
- NYSE Arms .56 -69.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.80 -3.77%
- US Energy High-Yield OAS 825.09 -1.35%
- European Financial Sector CDS Index 70.10 -2.94%
- Italian/German 10Y Yld Spread 128.0 unch.
- Asia Ex-Japan Investment Grade CDS Index 70.56 -1.5%
- Emerging Market CDS Index 210.16 -2.83%
- iBoxx Offshore RMB China Corporate High Yield Index 178.19 +.02%
- 2-Year Swap Spread 8.5 -.25 basis point
- TED Spread 13.0 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -8.5 +.5 basis point
- MBS 5/10 Treasury Spread 85.0 -2.25 basis points
- IHS Markit CMBX BBB- 6 67.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.42 +.08%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 60.0 -2.5 basis points
- China Iron Ore Spot 117.40 USD/Metric Tonne -.11%
- Citi US Economic Surprise Index 155.2 -2.1 points
- Citi Eurozone Economic Surprise Index 47.60 -5.1 points
- Citi Emerging Markets Economic Surprise Index 46.8 -.6 point
- 10-Year TIPS Spread 1.70 +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 +88 open in Japan
- China A50 Futures: Indicating +275 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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