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) 25.4 -3.8%
- Bloomberg Global Risk On/Risk Off Index 386.0 +61.0 points
- Euro/Yen Carry Return Index 129.37 +.18%
- Emerging Markets Currency Volatility(VXY) 11.56 -.69%
- S&P 500 Implied Correlation 43.5 -4.9%
- ISE Sentiment Index 129.0 +6.6 points
- Total Put/Call .77 -1.3%
- NYSE Arms .90 +60.7%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.3 -3.1%
- US Energy High-Yield OAS 808.19 -.48%
- European Financial Sector CDS Index 68.05 -3.75%
- Italian/German 10Y Yld Spread 125.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 65.69 -4.26%
- Emerging Market CDS Index 197.96 -4.3%
- iBoxx Offshore RMB China Corporate High Yield Index 178.61 +.15%
- 2-Year Swap Spread 8.75 -.25 basis point
- TED Spread 12.5 -1.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -9.75 +.5 basis point
- MBS 5/10 Treasury Spread 85.0 +.5 basis point
- IHS Markit CMBX BBB- 6 67.5 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.83 +.70%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 62.5 -.25 basis point
- China Iron Ore Spot 121.0 USD/Metric Tonne +3.1%
- Citi US Economic Surprise Index 149.9 -3.6 points
- Citi Eurozone Economic Surprise Index 49.70 +2.1 points
- Citi Emerging Markets Economic Surprise Index 44.9 -1.2 points
- 10-Year TIPS Spread 1.73 +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 +11 open in Japan
- China A50 Futures: Indicating +45 open in China
- DAX Futures: Indicating -7 open in Germany
Portfolio:
- Higher: On gains in my medical/industrial/consumer staple/tech/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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