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) 12.77 +2.9%
- Euro/Yen Carry Return Index 137.16 -.09%
- Emerging Markets Currency Volatility(VXY) 10.44 -2.52%
- S&P 500 Implied Correlation 35.16 +1.77%
- ISE Sentiment Index 132.0 +25.71%
- Total Put/Call 1.02 +9.68%
- NYSE Arms 1.44 +33.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.75 -.09%
- America Energy Sector High-Yield CDS Index 387.0 -9.37%
- European Financial Sector CDS Index 83.66 +4.15%
- Italian/German 10Y Yld Spread 267.75 +31.75 basis points
- Asia Pacific Sovereign Debt CDS Index 8.92 -2.51%
- Emerging Market CDS Index 192.58 +1.34%
- iBoxx Offshore RMB China Corporate High Yield Index 150.65 -.05%
- 2-Year Swap Spread 16.75 +.25 basis point
- TED Spread 19.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -41.75 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.88 -.11%
- 3-Month T-Bill Yield 2.19% +1.0 basis point
- Yield Curve 23.75 +1.75 basis points
- China Iron Ore Spot 67.65 USD/Metric Tonne -.12%
- Citi US Economic Surprise Index -5.2 -2.7 points
- Citi Eurozone Economic Surprise Index -31.90 -7.4 points
- Citi Emerging Markets Economic Surprise Index -7.6 +.7 point
- 10-Year TIPS Spread 2.15 unch.
- 72.3% chance of Fed rate hike at Dec. 19th meeting, 74.0% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +35 open in Japan
- China A50 Futures: Indicating -1 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Higher: On gains in my biotech/medical/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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