Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 10.84 +13.0%
- Euro/Yen Carry Return Index 137.87 -1.19%
- Emerging Markets Currency Volatility(VXY) 7.90 +.25%
- S&P 500 Implied Correlation 24.55 +9.11%
- ISE Sentiment Index 91.0 +40.0%
- Total Put/Call .68 -29.17%
- NYSE Arms .95 -11.24%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.0 +.35%
- America Energy Sector High-Yield CDS Index 434.0 +.31%
- European Financial Sector CDS Index 60.14 +.58%
- Western Europe Sovereign Debt CDS Index 5.12 +1.09%
- Asia Pacific Sovereign Debt CDS Index 16.46 +2.65%
- Emerging Market CDS Index 191.32 +1.41%
- iBoxx Offshore RMB China Corporate High Yield Index 141.95 +.08%
- 2-Year Swap Spread 25.75 -1.0 basis point
- TED Spread 31.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.19 -.52%
- 3-Month T-Bill Yield 1.02% unch.
- Yield Curve 79.0 -3.0 basis points
- China Import Iron Ore Spot $63.06/Metric Tonne -.79%
- Citi US Economic Surprise Index -8.70 +.1 point
- Citi Eurozone Economic Surprise Index 40.80 -8.6 points
- Citi Emerging Markets Economic Surprise Index 15.20 -1.3 basis points
- 10-Year TIPS Spread 1.85 unch.
- 65.4% chance of Fed rate hike at Dec. 13 meeting, 66.1% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -182 open in Japan
- China A50 Futures: Indicating -58 open in China
- DAX Futures: Indicating -37 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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