Broad Equity Market Tone:
- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.9 -1.7%
- Euro/Yen Carry Return Index 137.24 +.02%
- Emerging Markets Currency Volatility(VXY) 10.16 -1.84%
- S&P 500 Implied Correlation 34.23 -2.14%
- ISE Sentiment Index 87.0 -31.5%
- Total Put/Call .96 -7.69%
- NYSE Arms .59 -49.49%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.92 -2.44%
- America Energy Sector High-Yield CDS Index 381.0 -1.51%
- European Financial Sector CDS Index 84.55 +1.55%
- Italian/German 10Y Yld Spread 282.75 +15.0 basis points
- Asia Pacific Sovereign Debt CDS Index 8.83 -.56%
- Emerging Market CDS Index 193.27 +.10%
- iBoxx Offshore RMB China Corporate High Yield Index 150.65 unch.
- 2-Year Swap Spread 16.75 unch.
- TED Spread 19.5 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -41.25 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.95 +.10%
- 3-Month T-Bill Yield 2.20% +1.0 basis point
- Yield Curve 25.75 +2.0 basis points
- China Iron Ore Spot 68.03 USD/Metric Tonne unch.
- Citi US Economic Surprise Index -7.6 -2.4 points
- Citi Eurozone Economic Surprise Index -28.70 +3.2 points
- Citi Emerging Markets Economic Surprise Index -11.6 -4.0 points
- 10-Year TIPS Spread 2.14 -1.0 basis point
- 71.5% chance of Fed rate hike at Dec. 19th meeting, 72.7% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +220 open in Japan
- China A50 Futures: Indicating +34 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Higher: On gains in my industrial/medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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