Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.89 -1.33%
- Euro/Yen Carry Return Index 136.90 +.27%
- Emerging Markets Currency Volatility(VXY) 10.25 -.10%
- S&P 500 Implied Correlation 34.17 -.81%
- ISE Sentiment Index 123.0 -1.6%
- Total Put/Call .85 +7.59%
- NYSE Arms .67 -8.23%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.02 +.06%
- America Energy Sector High-Yield CDS Index 377.0 -8.28%
- European Financial Sector CDS Index 84.90 -3.81%
- Italian/German 10Y Yld Spread 283.75 -19.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.21 +1.54%
- Emerging Market CDS Index 194.58 +1.05%
- iBoxx Offshore RMB China Corporate High Yield Index 150.71 +.03%
- 2-Year Swap Spread 16.25 -1.0 basis point
- TED Spread 17.5 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -39.75 +1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.52 -.36%
- 3-Month T-Bill Yield 2.22% +1.0 basis point
- Yield Curve 29.5 +5.25 basis points
- China Iron Ore Spot 68.31 USD/Metric Tonne +.01%
- Citi US Economic Surprise Index 8.8 +16.5 points
- Citi Eurozone Economic Surprise Index -34.0 -4.7 points
- Citi Emerging Markets Economic Surprise Index -9.9 +.9 point
- 10-Year TIPS Spread 2.17 +4.0 basis points
- 71.0% chance of Fed rate hike at Dec. 19th meeting, 72.8% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +200 open in Japan
- China A50 Futures: Indicating -241 open in China
- DAX Futures: Indicating -15 open in Germany
Portfolio:
- Higher: On gains in my retail/biotech/industrial/tech sector longs and emerging market shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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