Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 16.9 +13.5%
- Euro/Yen Carry Return Index 122.45 -.23%
- Emerging Markets Currency Volatility(VXY) 8.17 -.97%
- S&P 500 Implied Correlation 41.67 +1.49%
- ISE Sentiment Index 84.0 -5.34%
- Total Put/Call 1.18 +14.6%
- NYSE Arms 1.78 +10.4%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.60 +2.44%
- America Energy Sector High-Yield CDS Index 401.0 +1.78%
- European Financial Sector CDS Index 65.38 +.90%
- Italian/German 10Y Yld Spread 143.25 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 74.70 +2.35%
- Emerging Market CDS Index 214.08 +3.0%
- iBoxx Offshore RMB China Corporate High Yield Index 165.87 +.05%
- 2-Year Swap Spread -2.25 -2.0 basis points
- TED Spread 22.25 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -14.0 -9.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.59 +.09%
- 3-Month T-Bill Yield 1.90% +1.0 basis point
- Yield Curve .03 -1.0 basis point
- China Iron Ore Spot 88.09 USD/Metric Tonne -3.1%
- Citi US Economic Surprise Index 40.90 -3.8 points
- Citi Eurozone Economic Surprise Index -64.90 +2.4 points
- Citi Emerging Markets Economic Surprise Index -7.8 +.1 point
- 10-Year TIPS Spread 1.58 -3.0 basis points
- 84.6% chance of Fed rate cut at Dec. 11th meeting, 92.4% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -323 open in Japan
- China A50 Futures: Indicating -50 open in China
- DAX Futures: Indicating -68 open in Germany
Portfolio:
- Slightly Lower: On losses in my industrial/tech/biotech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging markets shorts
- Market Exposure: Moved to 25% Net Long
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