Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 19.61 -1.4%
- Euro/Yen Carry Return Index 134.52 -.18%
- Emerging Markets Currency Volatility(VXY) 9.73 -2.11%
- S&P 500 Implied Correlation 42.19 -.47%
- ISE Sentiment Index 84.0 +9.09%
- Total Put/Call 1.01 -10.6%
- NYSE Arms 1.21 +49.38%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.29 -.33%
- America Energy Sector High-Yield CDS Index 419.0 +.31%
- European Financial Sector CDS Index 91.13 -1.91%
- Italian/German 10Y Yld Spread 304.25 +2.0 basis points
- Asia Pacific Sovereign Debt CDS Index 9.81 +.05%
- Emerging Market CDS Index 202.42 -1.04%
- iBoxx Offshore RMB China Corporate High Yield Index 150.32 +.27%
- 2-Year Swap Spread 19.5 -.75 basis point
- TED Spread 17.25 +1.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -43.0 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 66.98 -.08%
- 3-Month T-Bill Yield 2.30% unch.
- Yield Curve 28.5 -.25 basis point
- China Iron Ore Spot 72.74 USD/Metric Tonne -.12%
- Citi US Economic Surprise Index -.5 +1.2 points
- Citi Eurozone Economic Surprise Index -28.2 +1.0 point
- Citi Emerging Markets Economic Surprise Index -4.4 -.4 point
- 10-Year TIPS Spread 2.11 -1.0 basis point
- 83.0% chance of Fed rate hike at Dec. 19th meeting, 83.4% chance at Jan. 30th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -54 open in Japan
- China A50 Futures: Indicating -35 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail/medical sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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