Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.83 +4.14%
- Euro/Yen Carry Return Index 119.86 +.69%
- Emerging Markets Currency Volatility(VXY) 9.52 +.42%
- S&P 500 Implied Correlation 48.71 +4.06%
- ISE Sentiment Index 112.0 -1.75%
- Total Put/Call .82 -8.89%
- NYSE Arms .49 -24.73%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.93 +1.27%
- America Energy Sector High-Yield CDS Index 581.0 +8.24%
- European Financial Sector CDS Index 95.31 -.31%
- Western Europe Sovereign Debt CDS Index 17.76 -3.53%
- Asia Pacific Sovereign Debt CDS Index 33.55 +.03%
- Emerging Market CDS Index 236.66 +1.8%
- iBoxx Offshore RMB China Corporate High Yield Index 132.51 -.03%
- 2-Year Swap Spread 22.25 -.25 basis point
- TED Spread 57.0 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.0 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.17 -.18%
- 3-Month T-Bill Yield .28% -4.0 basis points
- Yield Curve 96.0 +4.0 basis points
- China Import Iron Ore Spot $63.04/Metric Tonne -.05%
- Citi US Economic Surprise Index -12.6 -1.7 points
- Citi Eurozone Economic Surprise Index 35.8 +.3 point
- Citi Emerging Markets Economic Surprise Index -15.10 +.8 point
- 10-Year TIPS Spread 1.73% unch.
- 72.5% chance of Fed rate hike at Dec. 14 meeting, 74.2% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +138 open in Japan
- China A50 Futures: Indicating +5 open in China
- DAX Futures: Indicating -18 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech longs, index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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