Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 18.0 -15.5%
- Euro/Yen Carry Return Index 135.11 +.38%
- Emerging Markets Currency Volatility(VXY) 9.70 -3.77%
- S&P 500 Implied Correlation 39.38 -7.4%
- ISE Sentiment Index 91.0 +9.64%
- Total Put/Call 1.02 +7.37%
- NYSE Arms 1.35 +32.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.11 -2.39%
- America Energy Sector High-Yield CDS Index 406.0 +.10%
- European Financial Sector CDS Index 89.01 -3.84%
- Italian/German 10Y Yld Spread 296.25 -8.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.77 -.91%
- Emerging Market CDS Index 197.70 -2.90%
- iBoxx Offshore RMB China Corporate High Yield Index 150.07 -.22%
- 2-Year Swap Spread 19.25 -.75 basis point
- TED Spread 16.25 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -45.75 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.34 +.57%
- 3-Month T-Bill Yield 2.29% +2.0 basis points
- Yield Curve 29.25 -1.0 basis point
- China Iron Ore Spot 69.89 USD/Metric Tonne +.04%
- Citi US Economic Surprise Index -.5 +4.9 points
- Citi Eurozone Economic Surprise Index -30.1 -7.5 points
- Citi Emerging Markets Economic Surprise Index -2.6 -.6 point
- 10-Year TIPS Spread 2.13 unch.
- 75.9% chance of Fed rate hike at Dec. 19th meeting, 76.9% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +259 open in Japan
- China A50 Futures: Indicating +137 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Higher: On gains in my industrial/retail/tech/biotech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
- Market Exposure: Moved to 100% Net Long
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