Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 24.93 +2.93%
- Euro/Yen Carry Return Index 132.66 -.22%
- Emerging Markets Currency Volatility(VXY) 10.03 +.91%
- S&P 500 Implied Correlation 45.18 +10.5%
- ISE Sentiment Index 87.0 -26.27%
- Total Put/Call 1.18 +13.5%
- NYSE Arms .97 +7.78%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.33 +1.33%
- America Energy Sector High-Yield CDS Index 477.0 +3.58%
- European Financial Sector CDS Index 95.33 +.78%
- Italian/German 10Y Yld Spread 309.5 unch.
- Asia Pacific Sovereign Debt CDS Index 10.26 +3.22%
- Emerging Market CDS Index 203.35 +.57%
- iBoxx Offshore RMB China Corporate High Yield Index 150.22 -.02%
- 2-Year Swap Spread 20.75 unch.
- TED Spread 19.25 +2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.0 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.72 +.20%
- 3-Month T-Bill Yield 2.32% unch.
- Yield Curve 27.0 -1.0 basis point
- China Iron Ore Spot 73.30 USD/Metric Tonne -.03%
- Citi US Economic Surprise Index -3.5 +1.2 points
- Citi Eurozone Economic Surprise Index -42.3 +1.0 basis point
- Citi Emerging Markets Economic Surprise Index -6.10 -.1 point
- 10-Year TIPS Spread 2.07 +2.0 basis points
- 69.4% chance of Fed rate hike at Dec. 19th meeting, 70.2% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +111 open in Japan
- China A50 Futures: Indicating +52 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/medical/retail/industrial sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
No comments:
Post a Comment