Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.35 -6.09%
- Euro/Yen Carry Return Index 118.47 -.54%
- Emerging Markets Currency Volatility(VXY) 9.67 -1.43%
- S&P 500 Implied Correlation 43.78 -6.07%
- ISE Sentiment Index 63.0 -5.97%
- Total Put/Call .94 -2.08%
- NYSE Arms .73 -16.64%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.44 -2.39%
- America Energy Sector High-Yield CDS Index 540.0 -9.15%
- European Financial Sector CDS Index 95.25 -2.81%
- Western Europe Sovereign Debt CDS Index 18.89 +2.05%
- Asia Pacific Sovereign Debt CDS Index 33.80 -1.82%
- Emerging Market CDS Index 236.98 -3.21%
- iBoxx Offshore RMB China Corporate High Yield Index 132.50 unch.
- 2-Year Swap Spread 23.25 +.5 basis point
- TED Spread 55.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -38.5 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.58 +.24%
- 3-Month T-Bill Yield .33% unch.
- Yield Curve 95.0 +.25 basis point
- China Import Iron Ore Spot $58.37/Metric Tonne -.07%
- Citi US Economic Surprise Index -23.60 -6.9 points
- Citi Eurozone Economic Surprise Index 18.3 -2.1 points
- Citi Emerging Markets Economic Surprise Index -18.40 -.1 point
- 10-Year TIPS Spread 1.69% +1.0 basis point
- 62.6% chance of Fed rate hike at Dec. 14 meeting, 64.1% chance at Feb. 1 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +19 open in Japan
- China A50 Futures: Indicating +18 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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