Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 10.0 -1.77%
- Euro/Yen Carry Return Index 139.27 -.26%
- Emerging Markets Currency Volatility(VXY) 7.73 +.39%
- S&P 500 Implied Correlation 22.77 -2.3%
- ISE Sentiment Index 52.0 -11.9%
- Total Put/Call .88 +14.3%
- NYSE Arms .91 -8.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.95 +6.8%
- America Energy Sector High-Yield CDS Index 425.0 +2.87%
- European Financial Sector CDS Index 57.18 +23.3% (new series)
- Western Europe Sovereign Debt CDS Index 4.48 -5.19%
- Asia Pacific Sovereign Debt CDS Index 15.59 -13.29%
- Emerging Market CDS Index 191.15 +9.14%
- iBoxx Offshore RMB China Corporate High Yield Index 141.65 +.01%
- 2-Year Swap Spread 25.75 -.25 basis point
- TED Spread 29.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.53 -.09%
- 3-Month T-Bill Yield 1.03% unch.
- Yield Curve 83.0 -1.0 basis point
- China Import Iron Ore Spot $68.85/Metric Tonne +1.16%
- Citi US Economic Surprise Index -17.40 +.1 point
- Citi Eurozone Economic Surprise Index 22.30 +1.1 points
- Citi Emerging Markets Economic Surprise Index 15.50 +.1 basis point
- 10-Year TIPS Spread 1.86 -2.0 basis points
- 67.1% chance of Fed rate hike at Dec. 13 meeting, 67.7% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -5 open in Japan
- China A50 Futures: Indicating +15 open in China
- DAX Futures: Indicating +32 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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