Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.75 -1.11%
- Euro/Yen Carry Return Index 138.18 +.02%
- Emerging Markets Currency Volatility(VXY) 8.16 -1.69%
- S&P 500 Implied Correlation 22.26 -4.38%
- ISE Sentiment Index 112.0 +9.8%
- Total Put/Call .75 -9.64%
- NYSE Arms 1.12 +30.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.86 -1.61%
- America Energy Sector High-Yield CDS Index 409.0 -.86%
- European Financial Sector CDS Index 60.2 +.88%
- Western Europe Sovereign Debt CDS Index 5.16 +3.93%
- Asia Pacific Sovereign Debt CDS Index 17.69 +3.36%
- Emerging Market CDS Index 186.59 -1.38%
- iBoxx Offshore RMB China Corporate High Yield Index 141.99 unch.
- 2-Year Swap Spread 25.5 +.25 basis point
- TED Spread 28.75 +2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -39.75 -7.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.60 +.17%
- 3-Month T-Bill Yield 1.05% unch.
- Yield Curve 86.0 +3.0 basis points
- China Import Iron Ore Spot $62.89/Metric Tonne -1.96%
- Citi US Economic Surprise Index -8.50 +.8 point
- Citi Eurozone Economic Surprise Index 54.10 +8.4 points
- Citi Emerging Markets Economic Surprise Index 13.30 -.5 basis point
- 10-Year TIPS Spread 1.88 +1.0 basis point
- 69.9% chance of Fed rate hike at Dec. 13 meeting, 71.1% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +7 open in Japan
- China A50 Futures: Indicating +10 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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