Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.35 +1.43%
- Euro/Yen Carry Return Index 119.28 -.09%
- Emerging Markets Currency Volatility(VXY) 10.15 -.1%
- S&P 500 Implied Correlation 49.78 +1.76%
- ISE Sentiment Index 84.0 +10.53%
- Total Put/Call .97 +4.3%
- NYSE Arms 1.09 -8.55%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.06 +.72%
- America Energy Sector High-Yield CDS Index 598.0 -.98%
- European Financial Sector CDS Index 99.44 +.85%
- Western Europe Sovereign Debt CDS Index 19.57 -5.32%
- Asia Pacific Sovereign Debt CDS Index 34.63 +1.42%
- Emerging Market CDS Index 247.78 +2.08%
- iBoxx Offshore RMB China Corporate High Yield Index 132.46 +.12%
- 2-Year Swap Spread 22.50 +.5 basis point
- TED Spread 59.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -45.50 -1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.05 +.02%
- 3-Month T-Bill Yield .30% +2.0 basis points
- Yield Curve 95.0 +1.0 basis point
- China Import Iron Ore Spot $58.38/Metric Tonne +1.92%
- Citi US Economic Surprise Index -9.70 -2.1 points
- Citi Eurozone Economic Surprise Index 21.8 -.7 point
- Citi Emerging Markets Economic Surprise Index -18.10 +.8 point
- 10-Year TIPS Spread 1.69% +5.0 basis points
- 65.9% chance of Fed rate hike at Dec. 14 meeting, 67.3% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -40 open in Japan
- China A50 Futures: Indicating +1 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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