Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.27 -10.36%
- Euro/Yen Carry Return Index 117.41 -.90%
- Emerging Markets Currency Volatility(VXY) 10.64 -.37%
- S&P 500 Implied Correlation 50.80 -6.11%
- ISE Sentiment Index 65.0 +16.07%
- Total Put/Call .99 +2.06%
- NYSE Arms .72 -41.35%
Credit Investor Angst:
- North American Investment Grade CDS Index 79.62 -2.60%
- America Energy Sector High-Yield CDS Index 703.0 +4.55%
- European Financial Sector CDS Index 100.01 -2.61%
- Western Europe Sovereign Debt CDS Index 23.49 +7.24%
- Asia Pacific Sovereign Debt CDS Index 31.25 -1.65%
- Emerging Market CDS Index 233.25 -3.98%
- iBoxx Offshore RMB China Corporate High Yield Index 131.83 +.13%
- 2-Year Swap Spread 26.50 -.5 basis point
- TED Spread 56.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -30.5 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.83 +.64%
- 3-Month T-Bill Yield .22% -7.0 basis points
- Yield Curve 88.0 -3.0 basis points
- China Import Iron Ore Spot $55.87/Metric Tonne +.18%
- Citi US Economic Surprise Index -1.40 +.3 point
- Citi Eurozone Economic Surprise Index -25.60 -.7 point
- Citi Emerging Markets Economic Surprise Index -14.9 +.3 point
- 10-Year TIPS Spread 1.53% +3.0 basis points
- 61.2% chance of Fed rate hike at Dec. 14 meeting, 63.6% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -217 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating +28 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment