Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.10 +.3%
- Euro/Yen Carry Return Index 138.93 +.1%
- Emerging Markets Currency Volatility(VXY) 8.08 +.37%
- S&P 500 Implied Correlation 15.45 +4.11%
- ISE Sentiment Index 67.0 -44.6%
- Total Put/Call .99 +5.3%
- NYSE Arms .85 -21.86%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.70 -.18%
- America Energy Sector High-Yield CDS Index 391.0 +.75%
- European Financial Sector CDS Index 60.86 +1.87%
- Western Europe Sovereign Debt CDS Index 4.97 -1.78%
- Asia Pacific Sovereign Debt CDS Index 14.81 -2.10%
- Emerging Market CDS Index 173.30 -.76%
- iBoxx Offshore RMB China Corporate High Yield Index 144.59 +.11%
- 2-Year Swap Spread 24.25 -.5 basis point
- TED Spread 27.5 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.50 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.74 +.11%
- 3-Month T-Bill Yield 1.09% unch.
- Yield Curve 77.0 -1.0 basis point
- China Import Iron Ore Spot $60.88/Metric Tonne -2.93%
- Citi US Economic Surprise Index 1.8 +1.6 points
- Citi Eurozone Economic Surprise Index 53.90 unch.
- Citi Emerging Markets Economic Surprise Index 17.60 -.6 basis point
- 10-Year TIPS Spread 1.84 -2.0 basis points
- 80.8% chance of Fed rate hike at Dec. 13 meeting, 81.9% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -68 open in Japan
- China A50 Futures: Indicating -74 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment