Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Light
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.45 +8.3%
- Euro/Yen Carry Return Index 137.93 +.06%
- Emerging Markets Currency Volatility(VXY) 7.96 +2.45%
- S&P 500 Implied Correlation 18.77 +9.06%
- ISE Sentiment Index 67.0 -22.99%
- Total Put/Call .99 +16.5
- NYSE Arms 1.26 +31.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.28 +.51%
- America Energy Sector High-Yield CDS Index 398.0 -.39%
- European Financial Sector CDS Index 60.14 -.69%
- Western Europe Sovereign Debt CDS Index 5.18 -4.52%
- Asia Pacific Sovereign Debt CDS Index 16.52 +.55%
- Emerging Market CDS Index 178.69 -.04%
- iBoxx Offshore RMB China Corporate High Yield Index 142.18 +.22%
- 2-Year Swap Spread 27.5 unch.
- TED Spread 28.75 +.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -39.5 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.18 -.14%
- 3-Month T-Bill Yield 1.06% unch.
- Yield Curve 85.50 -.5 basis point
- China Import Iron Ore Spot $62.67/Metric Tonne +.69%
- Citi US Economic Surprise Index 6.50 +3.1 points
- Citi Eurozone Economic Surprise Index 49.90 +4.1 points
- Citi Emerging Markets Economic Surprise Index 17.40 -.5 basis point
- 10-Year TIPS Spread 1.87 -1.0 basis point
- 80.8% chance of Fed rate hike at Dec. 13 meeting, 81.5% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +20 open in Japan
- China A50 Futures: Indicating +81 open in China
- DAX Futures: Indicating +20 open in Germany
Portfolio:
- Slightly Lower: On losses in my retail/medical sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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