Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.87%
- Euro/Yen Carry Return Index 117.98 +.63%
- Emerging Markets Currency Volatility(VXY) 10.36 -2.17%
- S&P 500 Implied Correlation 43.77 -7.85%
- ISE Sentiment Index 100.0 +58.73%
- Total Put/Call .92 -8.0%
- NYSE Arms 1.43 +122.77%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.22 -3.92%
- America Energy Sector High-Yield CDS Index 684.0 -2.12%
- European Financial Sector CDS Index 97.67 -2.34%
- Western Europe Sovereign Debt CDS Index 23.60 +.51%
- Asia Pacific Sovereign Debt CDS Index 30.82 -.34%
- Emerging Market CDS Index 227.07 -1.34%
- iBoxx Offshore RMB China Corporate High Yield Index 131.90 +.05%
- 2-Year Swap Spread 25.50 -1.0 basis point
- TED Spread 65.25 +8.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -34.25 -3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.12 +.33%
- 3-Month T-Bill Yield .16% -6.0 basis points
- Yield Curve 85.0 -3.0 basis points
- China Import Iron Ore Spot $56.34/Metric Tonne +.84%
- Citi US Economic Surprise Index -5.90 -4.5 point
- Citi Eurozone Economic Surprise Index -25.70 -.1 point
- Citi Emerging Markets Economic Surprise Index -14.7 +.2 point
- 10-Year TIPS Spread 1.56% +3.0 basis points
- 58.6% chance of Fed rate hike at Dec. 14 meeting, 61.2% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +33 open in Japan
- China A50 Futures: Indicating +13 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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