Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.0 +3.0%
- Euro/Yen Carry Return Index 125.60 +.5%
- Emerging Markets Currency Volatility(VXY) 7.2 +.14%
- S&P 500 Implied Correlation 30.0 -1.1%
- ISE Sentiment Index 105.0 +29.0
- Total Put/Call .76 -8.4%
- NYSE Arms 1.05 +52.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.78 -1.79%
- America Energy Sector High-Yield CDS Index 502.0 +1.12%
- European Financial Sector CDS Index 57.52 -.46%
- Italian/German 10Y Yld Spread 133.75 +2.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.20 -1.62%
- Emerging Market CDS Index 191.27 +.09%
- iBoxx Offshore RMB China Corporate High Yield Index 167.08 +.11%
- 2-Year Swap Spread 3.0 +.25 basis point
- TED Spread 26.75 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.41 +.28%
- 3-Month T-Bill Yield 1.64% -2.0 basis points
- Yield Curve .18 unch.
- China Iron Ore Spot 81.50 USD/Metric Tonne -.29%
- Citi US Economic Surprise Index 3.0 -1.9 points
- Citi Eurozone Economic Surprise Index -52.50 +3.6 points
- Citi Emerging Markets Economic Surprise Index -16.60 +2.9 basis points
- 10-Year TIPS Spread 1.65 unch.
- 94.0% chance of Fed rate cut at Dec. 11th meeting, 95.7% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +118 open in Japan
- China A50 Futures: Indicating +60 open in China
- DAX Futures: Indicating +10 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/industrial/biotech/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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