- Advance/Decline Line: Modestly Lower
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing in Line
Equity Investor Angst:
- Volatility(VIX) 26.3 +3.3%
- Bloomberg Global Risk On/Risk Off Index 171.0 -160.0 points
- Euro/Yen Carry Return Index 127.80 -.13%
- Emerging Markets Currency Volatility(VXY) 11.18 +.36%
- S&P 500 Implied Correlation 45.5 +4.0%
- ISE Sentiment Index 112.0 -9.0 points
- Total Put/Call .75 +7.14%
- NYSE Arms .84 unch.
Credit Investor Angst:
- North American Investment Grade CDS Index 56.69 +1.55%
- US Energy High-Yield OAS 812.91 +.55%
- European Financial Sector CDS Index 74.38 +5.0%
- Italian/German 10Y Yld Spread 131.0 +7.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 67.09 +3.13%
- Emerging Market CDS Index 208.78 -.19%
- iBoxx Offshore RMB China Corporate High Yield Index 179.20 +.13%
- 2-Year Swap Spread 9.25 unch.
- TED Spread 14.0 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -12.25 -1.25 basis points
- MBS 5/10 Treasury Spread 85.0 -1.0 basis point
- IHS Markit CMBX BBB- 6 68.0 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.21 -.30%
- 3-Month T-Bill Yield .10% unch.
- Yield Curve 57.25 -2.0 basis points
- China Iron Ore Spot 114.50 USD/Metric Tonne -.23%
- Citi US Economic Surprise Index 138.8 +1.2 points
- Citi Eurozone Economic Surprise Index 33.80 -2.0 points
- Citi Emerging Markets Economic Surprise Index 44.7 +.5 point
- 10-Year TIPS Spread 1.70 +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 +3 open in Japan
- China A50 Futures: Indicating -89 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial sector longs and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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