Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.5 +15.7%
- Euro/Yen Carry Return Index 135.15 +.11%
- Emerging Markets Currency Volatility(VXY) 10.75 +1.9%
- S&P 500 Implied Correlation 37.99 +5.9%
- ISE Sentiment Index 75.0 -43.6%
- Total Put/Call 1.11 +19.4%
- NYSE Arms .88 -28.21%
Credit Investor Angst:
- North American Investment Grade CDS Index 63.77 +3.33%
- America Energy Sector High-Yield CDS Index 391.0 +.77%
- European Financial Sector CDS Index 88.74 +.82%
- Italian/German 10Y Yld Spread 295.25 +2.5 basis points
- Asia Pacific Sovereign Debt CDS Index 9.90 -.65%
- Emerging Market CDS Index 210.23 +2.15%
- iBoxx Offshore RMB China Corporate High Yield Index 150.46 +.05%
- 2-Year Swap Spread 18.0 unch.
- TED Spread 15.25 -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -41.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.22 -.10%
- 3-Month T-Bill Yield 2.27% +4.0 basis points
- Yield Curve 34.75 +2.0 basis points
- China Iron Ore Spot 69.77 USD/Metric Tonne -.33%
- Citi US Economic Surprise Index 7.1 +.5 point
- Citi Eurozone Economic Surprise Index -28.2 +1.3 points
- Citi Emerging Markets Economic Surprise Index -10.6 +.2 point
- 10-Year TIPS Spread 2.16 -1.0 basis point
- 78.2% chance of Fed rate hike at Dec. 19th meeting, 79.4% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -376 open in Japan
- China A50 Futures: Indicating -181 open in China
- DAX Futures: Indicating -45 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging market shorts
- Market Exposure: Moved to 25% Net Long
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