Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.88 +2.8%
- Euro/Yen Carry Return Index 137.96 +.09%
- Emerging Markets Currency Volatility(VXY) 8.11 +.12%
- S&P 500 Implied Correlation 15.47 -1.28%
- ISE Sentiment Index 730 -32.4%
- Total Put/Call 1.21 +42.35%
- NYSE Arms .96 -15.34%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.36 -.84%
- America Energy Sector High-Yield CDS Index 394.0 +.03%
- European Financial Sector CDS Index 58.74 +.12%
- Western Europe Sovereign Debt CDS Index 4.99 -2.06%
- Asia Pacific Sovereign Debt CDS Index 16.1 +.06%
- Emerging Market CDS Index 177.75 +.11%
- iBoxx Offshore RMB China Corporate High Yield Index 144.43 +1.49%
- 2-Year Swap Spread 26.0 +.25 basis point
- TED Spread 28.0 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -40.75 +.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.84 +.66%
- 3-Month T-Bill Yield 1.07% unch.
- Yield Curve 77.0 -1.0 basis point
- China Import Iron Ore Spot $62.94/Metric Tonne +.66%
- Citi US Economic Surprise Index 2.50 -1.4 points
- Citi Eurozone Economic Surprise Index 55.40 -.3 point
- Citi Emerging Markets Economic Surprise Index 20.10 -2.2 basis points
- 10-Year TIPS Spread 1.85 -1.0 basis point
- 80.4% chance of Fed rate hike at Dec. 13 meeting, 81.5% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +135 open in Japan
- China A50 Futures: Indicating +22 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
No comments:
Post a Comment