Broad Equity Market Tone:
- Advance/Decline Line: Slightly Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 16.0 +2.2%
- Euro/Yen Carry Return Index 135.08 -.20%
- Emerging Markets Currency Volatility(VXY) 10.55 +.29%
- S&P 500 Implied Correlation 36.28 +.5%
- ISE Sentiment Index 100.0 +.19%
- Total Put/Call .96 -.18%
- NYSE Arms 1.20 +157.27%
Credit Investor Angst:
- North American Investment Grade CDS Index 61.77 +.27%
- America Energy Sector High-Yield CDS Index 388.0 -.34%
- European Financial Sector CDS Index 88.02 -1.67%
- Italian/German 10Y Yld Spread 292.75 -11.25 basis points
- Asia Pacific Sovereign Debt CDS Index 9.96 +1.17%
- Emerging Market CDS Index 207.06 -2.41%
- iBoxx Offshore RMB China Corporate High Yield Index 150.39 -.16%
- 2-Year Swap Spread 18.0 +.25 basis point
- TED Spread 19.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.75 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.27 +.23%
- 3-Month T-Bill Yield 2.23% +2.0 basis points
- Yield Curve 32.75 -2.0 basis points
- China Iron Ore Spot 69.50 USD/Metric Tonne +.55%
- Citi US Economic Surprise Index 6.6 -.3 point
- Citi Eurozone Economic Surprise Index -29.5 -.3 point
- Citi Emerging Markets Economic Surprise Index -10.8 +.4 point
- 10-Year TIPS Spread 2.17 unch.
- 80.7% chance of Fed rate hike at Dec. 19th meeting, 81.3% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +56 open in Japan
- China A50 Futures: Indicating -25 open in China
- DAX Futures: Indicating -12 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/medical/retail sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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