Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.11 -6.05%
- Euro/Yen Carry Return Index 137.47 -.14%
- Emerging Markets Currency Volatility(VXY) 10.78 -4.43%
- S&P 500 Implied Correlation 34.47 +.55%
- ISE Sentiment Index 105.0 +1.94%
- Total Put/Call .92 +6.98%
- NYSE Arms .92 -40.3%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.73 -2.93%
- America Energy Sector High-Yield CDS Index 427.0 -.55%
- European Financial Sector CDS Index 80.33 +.88%
- Italian/German 10Y Yld Spread 236.0 +2.75 basis points
- Asia Pacific Sovereign Debt CDS Index 9.15 -1.40%
- Emerging Market CDS Index 190.28 -1.43%
- iBoxx Offshore RMB China Corporate High Yield Index 150.74 +.08%
- 2-Year Swap Spread 16.50 -.75 basis point
- TED Spread 18.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -41.0 -24.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 67.03 +.28%
- 3-Month T-Bill Yield 2.18% -2.0 basis points
- Yield Curve 22.0 -2.25 basis points
- China Iron Ore Spot 67.48 USD/Metric Tonne -.84%
- Citi US Economic Surprise Index -2.5 -2.2 points
- Citi Eurozone Economic Surprise Index -24.50 +.7 point
- Citi Emerging Markets Economic Surprise Index -8.3 +1.1 points
- 10-Year TIPS Spread 2.15 unch.
- 71.3% chance of Fed rate hike at Dec. 19th meeting, 72.4% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +300 open in Japan
- China A50 Futures: Indicating +56 open in China
- DAX Futures: Indicating -9 open in Germany
Portfolio:
- Higher: On gains in my biotech/industrial/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment