Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.82 -4.8%
- Euro/Yen Carry Return Index 138.02 -.17%
- Emerging Markets Currency Volatility(VXY) 11.39 -1.9%
- S&P 500 Implied Correlation 34.2 -1.44%
- ISE Sentiment Index 102.0 -5.56%
- Total Put/Call .83 -5.7%
- NYSE Arms 1.38 +35.35%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.53 -3.04%
- America Energy Sector High-Yield CDS Index 429.0 +8.39%
- European Financial Sector CDS Index 79.63 -1.35%
- Italian/German 10Y Yld Spread 233.25 -.25 basis point
- Asia Pacific Sovereign Debt CDS Index 9.28 -4.03%
- Emerging Market CDS Index 193.59 -2.69%
- iBoxx Offshore RMB China Corporate High Yield Index 150.61 -.05%
- 2-Year Swap Spread 17.0 unch.
- TED Spread 17.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -16.25 -2.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.86 +.42%
- 3-Month T-Bill Yield 2.20% unch.
- Yield Curve 24.25 -1.5 basis point
- China Iron Ore Spot 68.40 USD/Metric Tonne +.06%
- Citi US Economic Surprise Index -.3 -.1 point
- Citi Eurozone Economic Surprise Index -25.20 -.1 point
- Citi Emerging Markets Economic Surprise Index -9.4 -.3 point
- 10-Year TIPS Spread 2.15-1.0 basis point
- 77.5% chance of Fed rate hike at Dec. 19th meeting, 78.4% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -43 open in Japan
- China A50 Futures: Indicating +97 open in China
- DAX Futures: Indicating -19 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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