Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.9 -2.8%
- Euro/Yen Carry Return Index 122.64 -.38%
- Emerging Markets Currency Volatility(VXY) 8.27 +.49%
- S&P 500 Implied Correlation 41.19 +4.68%
- ISE Sentiment Index 90.0 unch.
- Total Put/Call 1.01 -2.88%
- NYSE Arms .99 -22.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.38 -.5%
- America Energy Sector High-Yield CDS Index 392.0 +4.28%
- European Financial Sector CDS Index 64.80 +2.55%
- Italian/German 10Y Yld Spread 141.25 -3.25 basis point
- Asia Ex-Japan Investment Grade CDS Index 72.98 +1.09%
- Emerging Market CDS Index 206.79 +1.11%
- iBoxx Offshore RMB China Corporate High Yield Index 165.78 +.07%
- 2-Year Swap Spread -.25 -4.5 basis points
- TED Spread 23.75 -2.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -4.25 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.52 -.14%
- 3-Month T-Bill Yield 1.89% unch.
- Yield Curve .04 unch.
- China Iron Ore Spot 91.35 USD/Metric Tonne +1.11%
- Citi US Economic Surprise Index 44.70 +3.0 points
- Citi Eurozone Economic Surprise Index -67.30 -40.9 points
- Citi Emerging Markets Economic Surprise Index -7.9 +1.4 points
- 10-Year TIPS Spread 1.61 -1.0 basis point
- 76.0% chance of Fed rate cut at Dec. 11th meeting, 84.9% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -260 open in Japan
- China A50 Futures: Indicating -11 open in China
- DAX Futures: Indicating +5 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial/tech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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