Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.62 +1.8%
- Euro/Yen Carry Return Index 138.36 +.32%
- Emerging Markets Currency Volatility(VXY) 7.81 -.38%
- S&P 500 Implied Correlation 19.87 +1.6%
- ISE Sentiment Index 75.0 -61.1%
- Total Put/Call .74 -20.43%
- NYSE Arms .68 -23.61%
Credit Investor Angst:
- North American Investment Grade CDS Index 54.18 -1.17%
- America Energy Sector High-Yield CDS Index 405.0 -.33%
- European Financial Sector CDS Index 58.86 -.63%
- Western Europe Sovereign Debt CDS Index 5.32 -.47%
- Asia Pacific Sovereign Debt CDS Index 17.03 -9.73%
- Emerging Market CDS Index 178.76 -1.64%
- iBoxx Offshore RMB China Corporate High Yield Index 142.16 +.03%
- 2-Year Swap Spread 26.5 +1.25 basis points
- TED Spread 29.75 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -36.5 +4.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.53 +.05%
- 3-Month T-Bill Yield 1.05% +4.0 basis points
- Yield Curve 86.0 +1.0 basis point
- China Import Iron Ore Spot $62.05/Metric Tonne unch.
- Citi US Economic Surprise Index 1.70 +.2 point
- Citi Eurozone Economic Surprise Index 45.30 -.3 point
- Citi Emerging Markets Economic Surprise Index 17.10 -1.8 basis points
- 10-Year TIPS Spread 1.85 +1.0 basis point
- 71.6% chance of Fed rate hike at Dec. 13 meeting, 72.7% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +66 open in Japan
- China A50 Futures: Indicating +393 open in China
- DAX Futures: Indicating -11 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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