Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 18.8 -7.4%
- Euro/Yen Carry Return Index 122.51 +.58%
- Emerging Markets Currency Volatility(VXY) 8.27 +.85%
- S&P 500 Implied Correlation 46.29 -6.3%
- ISE Sentiment Index 115.0 +53.1%
- Total Put/Call 1.09 +11.2%
- NYSE Arms 1.09 -44.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.84 -1.14%
- America Energy Sector High-Yield CDS Index 525.0 +3.84%
- European Financial Sector CDS Index 68.21 -1.85%
- Italian/German 10Y Yld Spread 141.75 -2.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 78.27 -.99%
- Emerging Market CDS Index 213.72 -1.04%
- iBoxx Offshore RMB China Corporate High Yield Index 166.36 +.05%
- 2-Year Swap Spread 2.5 -.5 basis point
- TED Spread 34.75 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -25.25 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.24 +.05%
- 3-Month T-Bill Yield 1.67% -1.0 basis point
- Yield Curve .11 +2.0 basis points
- China Iron Ore Spot 86.80 USD/Metric Tonne -3.7%
- Citi US Economic Surprise Index 17.70 -1.3 points
- Citi Eurozone Economic Surprise Index -76.70 -.6 point
- Citi Emerging Markets Economic Surprise Index -11.20 -.2 point
- 10-Year TIPS Spread 1.49 +1.0 basis point
- 91.6% chance of Fed rate cut at Dec. 11th meeting, 95.1% chance of cut at Jan. 29th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +149 open in Japan
- China A50 Futures: Indicating +30 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Higher: On gains in my tech/retail/medical/industrial sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment