Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 9.95 +2.9%
- Euro/Yen Carry Return Index 13.55 -.35%
- Emerging Markets Currency Volatility(VXY) 7.89 +.9%
- S&P 500 Implied Correlation 23.58 +3.19%
- ISE Sentiment Index 73.0 +19.67%
- Total Put/Call .90 +8.43%
- NYSE Arms 1.22 +14.27%
Credit Investor Angst:
- North American Investment Grade CDS Index 60.22 +1.11%
- America Energy Sector High-Yield CDS Index 431.0 +.52%
- European Financial Sector CDS Index 59.8 +5.14%
- Western Europe Sovereign Debt CDS Index 5.06 +13.84%
- Asia Pacific Sovereign Debt CDS Index 16.04 +6.19%
- Emerging Market CDS Index 188.60 -.36%
- iBoxx Offshore RMB China Corporate High Yield Index 141.84 -.01%
- 2-Year Swap Spread 26.75 -.5 basis point
- TED Spread 30.5 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -30.0 -4.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 74.62 +.26%
- 3-Month T-Bill Yield 1.02% -1.0 basis point
- Yield Curve 82.0 -2.0 basis points
- China Import Iron Ore Spot $63.56/Metric Tonne -3.83%
- Citi US Economic Surprise Index -8.80 +.5 point
- Citi Eurozone Economic Surprise Index 49.40 +28.2 points
- Citi Emerging Markets Economic Surprise Index 16.50 +.1 basis point
- 10-Year TIPS Spread 1.85 +1.0 basis point
- 68.8% chance of Fed rate hike at Dec. 13 meeting, 69.4% chance at Jan. 31 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -66 open in Japan
- China A50 Futures: Indicating -40 open in China
- DAX Futures: Indicating +6 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment