Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.13 +8.69%
- Euro/Yen Carry Return Index 139.99 +.32%
- Emerging Markets Currency Volatility(VXY) 8.03 -2.07%
- S&P 500 Implied Correlation 22.31 +58.3%
- ISE Sentiment Index 67.0 -33.7%
- Total Put/Call 1.17 +50.0%
- NYSE Arms 1.26 +43.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.94 +1.76%
- America Energy Sector High-Yield CDS Index 390.0 +.87%
- European Financial Sector CDS Index 57.47 -.24%
- Western Europe Sovereign Debt CDS Index 4.55 -3.30%
- Asia Pacific Sovereign Debt CDS Index 15.85 +2.79%
- Emerging Market CDS Index 177.30 +1.23%
- iBoxx Offshore RMB China Corporate High Yield Index 144.58 -.06%
- 2-Year Swap Spread 22.5 -1.25 basis points
- TED Spread 25.5 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.0 +.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.0 -.14%
- 3-Month T-Bill Yield 1.11% unch.
- Yield Curve 84.0 +1.0 basis point
- China Import Iron Ore Spot $62.24/Metric Tonne -.29%
- Citi US Economic Surprise Index 30.50 +23.5 points
- Citi Eurozone Economic Surprise Index 56.90 +5.1 basis points
- Citi Emerging Markets Economic Surprise Index 16.90 -.1 basis point
- 10-Year TIPS Spread 1.88 unch.
- 84.2% chance of Fed rate hike at Dec. 13 meeting, 85.1% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +33 open in Japan
- China A50 Futures: Indicating -6 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Lower: On losses in my tech/retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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