Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.0 -2.55%
- Euro/Yen Carry Return Index 118.45 +.38%
- Emerging Markets Currency Volatility(VXY) 9.45 +.43%
- S&P 500 Implied Correlation 40.5 -1.4%
- ISE Sentiment Index 90.0 -20.35%
- Total Put/Call .86 -11.34%
- NYSE Arms 1.20 -11.03%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.80 +.07%
- America Energy Sector High-Yield CDS Index 516.0 -1.86%
- European Financial Sector CDS Index 91.50 -2.14%
- Western Europe Sovereign Debt CDS Index 18.60 +2.62%
- Asia Pacific Sovereign Debt CDS Index 33.66 -1.01%
- Emerging Market CDS Index 231.36 -.36%
- iBoxx Offshore RMB China Corporate High Yield Index 132.57 +.08%
- 2-Year Swap Spread 24.5 +.75 basis point
- TED Spread 55.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -44.25 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.40 +.24%
- 3-Month T-Bill Yield .32% unch.
- Yield Curve 93.0 +2.0 basis points
- China Import Iron Ore Spot $59.28/Metric Tonne +.95%
- Citi US Economic Surprise Index -14.7 +8.3 points
- Citi Eurozone Economic Surprise Index 34.3 +17.7 points
- Citi Emerging Markets Economic Surprise Index -18.60 -.2 point
- 10-Year TIPS Spread 1.69% unch.
- 70.9% chance of Fed rate hike at Dec. 14 meeting, 72.7% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +116 open in Japan
- China A50 Futures: Indicating +24 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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