Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.8 -15.6%
- Euro/Yen Carry Return Index 135.07 +.21%
- Emerging Markets Currency Volatility(VXY) 9.95 -.8%
- S&P 500 Implied Correlation 39.53 -.70%
- ISE Sentiment Index 96.0 +71.4%
- Total Put/Call .97 -13.4%
- NYSE Arms 1.32 +45.05%
Credit Investor Angst:
- North American Investment Grade CDS Index 62.67 -2.63%
- America Energy Sector High-Yield CDS Index 534.0 -1.09%
- European Financial Sector CDS Index 84.13 -3.94%
- Italian/German 10Y Yld Spread 289.0 -7.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.55 -1.29%
- Emerging Market CDS Index 186.71 -2.04%
- iBoxx Offshore RMB China Corporate High Yield Index 148.16 +.52%
- 2-Year Swap Spread 18.0 -1.0 basis point
- TED Spread 26.25 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -41.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.43 +.34%
- 3-Month T-Bill Yield 2.35% +1.0 basis point
- Yield Curve 26.75 -2.25 basis points
- China Iron Ore Spot 72.05 USD/Metric Tonne +.36%
- Citi US Economic Surprise Index 9.70 -.1 point
- Citi Eurozone Economic Surprise Index -49.4 -1.9 points
- Citi Emerging Markets Economic Surprise Index -9.30 unch.
- 10-Year TIPS Spread 2.08+1.0 basis point
- 78.1% chance of Fed rate hike at Dec. 19th meeting, 79.5% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +420 open in Japan
- China A50 Futures: Indicating +157 open in China
- DAX Futures: Indicating +48 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/tech/industrial/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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