Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Around Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.2 -.4%
- Euro/Yen Carry Return Index 125.63 -.06%
- Emerging Markets Currency Volatility(VXY) 7.75 -.26%
- S&P 500 Implied Correlation 31.85 -4.47%
- ISE Sentiment Index 112.0 +32.8%
- Total Put/Call .93 -5.1%
- NYSE Arms .97 unch.
Credit Investor Angst:
- North American Investment Grade CDS Index 54.02 -1.93%
- America Energy Sector High-Yield CDS Index 487.0 +.35%
- European Financial Sector CDS Index 57.32 -4,43%
- Italian/German 10Y Yld Spread 132.75 +2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 70.07 -.91%
- Emerging Market CDS Index 201.25 -.17%
- iBoxx Offshore RMB China Corporate High Yield Index 166.83 +.08%
- 2-Year Swap Spread 2.5 -2.25 basis points
- TED Spread 29.75 -2.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -22.75 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.90 -.21%
- 3-Month T-Bill Yield 1.65% -1.0 basis point
- Yield Curve .18 +1.0 basis point
- China Iron Ore Spot 82.67 USD/Metric Tonne +.5%
- Citi US Economic Surprise Index 7.2 -.8 point
- Citi Eurozone Economic Surprise Index -57.2 +9.8 points
- Citi Emerging Markets Economic Surprise Index -20.10 -.5 basis point
- 10-Year TIPS Spread 1.61 +1.0 basis point
- 91.7% chance of Fed rate cut at Dec. 11th meeting, 94.1% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +152 open in Japan
- China A50 Futures: Indicating +23 open in China
- DAX Futures: Indicating -3 open in Germany
Portfolio:
- Higher: On gains in my industrial/tech/retail/biotech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment