Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.20 +2.31%
- Euro/Yen Carry Return Index 139.18 -.16%
- Emerging Markets Currency Volatility(VXY) 8.16 +.99%
- S&P 500 Implied Correlation 14.62 unch.
- ISE Sentiment Index 165.0 +35.25%
- Total Put/Call .95 +15.85%
- NYSE Arms 1.34 +38.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.29 -.43%
- America Energy Sector High-Yield CDS Index 384.0 +.42%
- European Financial Sector CDS Index 58.18 -1.0%
- Western Europe Sovereign Debt CDS Index 4.77 +2.14%
- Asia Pacific Sovereign Debt CDS Index 15.62 +.26%
- Emerging Market CDS Index 174.32 +1.40%
- iBoxx Offshore RMB China Corporate High Yield Index 144.46 -.12%
- 2-Year Swap Spread 23.75 -.5 basis point
- TED Spread 26.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -42.50 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.25 -.27%
- 3-Month T-Bill Yield 1.09% -1.0 basis point
- Yield Curve 81.0 +1.0 basis point
- China Import Iron Ore Spot $62.0/Metric Tonne -.74%
- Citi US Economic Surprise Index 3.0 +1.5 points
- Citi Eurozone Economic Surprise Index 52.90 -1.2 basis points
- Citi Emerging Markets Economic Surprise Index 16.90 -.3 basis point
- 10-Year TIPS Spread 1.87 -1.0 basis points
- 84.2% chance of Fed rate hike at Dec. 13 meeting, 84.8% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +58 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating -14 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/retail sector longs and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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