Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 27.75 +3.86%
- Bloomberg Global Risk On/Risk Off Index 11.0 -101.0 points
- Euro/Yen Carry Return Index 127.91 -.40%
- Emerging Markets Currency Volatility(VXY) 11.62 -.09%
- S&P 500 Implied Correlation 55.49 -.61%
- ISE Sentiment Index 114.0 -11.0 points
- Total Put/Call .82 +5.1%
- NYSE Arms .68 -56.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 58.48 -.16%
- US Energy High-Yield OAS 881.79 +.88%
- European Financial Sector CDS Index 76.70 -1.19%
- Italian/German 10Y Yld Spread 132.0 -4.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 75.36 +.34%
- Emerging Market CDS Index 227.61 +1.48%
- iBoxx Offshore RMB China Corporate High Yield Index 177.96 +.02%
- 2-Year Swap Spread 8.75 -.5 basis point
- TED Spread 14.5 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -11.0 +.75 basis point
- MBS 5/10 Treasury Spread 90.5 -1.5 basis points
- IHS Markit CMBX BBB- 6 66.75 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.30 -.29%
- 3-Month T-Bill Yield .09% +1.0 basis point
- Yield Curve 54.5 -1.75 basis points
- China Iron Ore Spot 116.26 USD/Metric Tonne -.53%
- Citi US Economic Surprise Index 164.2 -3.7 points
- Citi Eurozone Economic Surprise Index 41.20 -8.4 points
- Citi Emerging Markets Economic Surprise Index 50.0 -.6 point
- 10-Year TIPS Spread 1.65 +1.0 basis point
- 100.0% chance of no change at Dec. 16th meeting, 100.0% chance of no change at Jan. 27th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +175 open in Japan
- China A50 Futures: Indicating +27 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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