Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.69 -4.7%
- Euro/Yen Carry Return Index 138.15 +.15%
- Emerging Markets Currency Volatility(VXY) 8.27 +2.35%
- S&P 500 Implied Correlation 22.47 -3.51%
- ISE Sentiment Index 110.0 +4.76%
- Total Put/Call .80 -15.79%
- NYSE Arms .91 -25.49%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.63 -2.16%
- America Energy Sector High-Yield CDS Index 417.0 -3.55%
- European Financial Sector CDS Index 59.57 -1.46%
- Western Europe Sovereign Debt CDS Index 4.98 -2.74%
- Asia Pacific Sovereign Debt CDS Index 17.13 +3.79%
- Emerging Market CDS Index 189.69 +.12%
- iBoxx Offshore RMB China Corporate High Yield Index 141.99 +.08%
- 2-Year Swap Spread 25.25 -1.5 basis points
- TED Spread 26.75 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -32.75 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.50 -.59%
- 3-Month T-Bill Yield 1.05% unch.
- Yield Curve 83.0 +3.0 basis points
- China Import Iron Ore Spot $64.15/Metric Tonne -1.23%
- Citi US Economic Surprise Index -9.30 +3.8 points
- Citi Eurozone Economic Surprise Index 45.70 +8.0 points
- Citi Emerging Markets Economic Surprise Index 13.80 -.8 basis point
- 10-Year TIPS Spread 1.87 +2.0 basis points
- 73.4% chance of Fed rate hike at Dec. 13 meeting, 74.4% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +163 open in Japan
- China A50 Futures: Indicating +28 open in China
- DAX Futures: Indicating +24 open in Germany
Portfolio:
- Higher: On gains in my retail/tech/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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