- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.4 +5.2%
- Bloomberg Global Risk On/Risk Off Index 177.0 -150.0 points
- Euro/Yen Carry Return Index 128.47 -.03%
- Emerging Markets Currency Volatility(VXY) 11.18 unch.
- S&P 500 Implied Correlation 54.1 +7.4%
- ISE Sentiment Index 109.0 -32.0 points
- Total Put/Call .88 +11.4%
- NYSE Arms .73 +5.8%
Credit Investor Angst:
- North American Investment Grade CDS Index 69.3 +2.1%
- US Energy High-Yield OAS 811.52 +.26%
- European Financial Sector CDS Index 62.45 +1.96%
- Italian/German 10Y Yld Spread 151.25 n/a
- Asia Ex-Japan Investment Grade CDS Index 57.84 +1.61%
- Emerging Market CDS Index 168.15 +2.1%
- iBoxx Offshore RMB China Corporate High Yield Index 178.07 +.02%
- 2-Year Swap Spread 8.25 +.25 basis point
- TED Spread 16.75 +3.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 unch.
- MBS 5/10 Treasury Spread 94.0 +.5 basis point
- IHS Markit CMBX BBB- 6 66.5 unch.
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.79 -.14%
- 3-Month T-Bill Yield .09% -1.0 basis point
- Yield Curve 540 +.5 basis point
- China Iron Ore Spot 119.78 USD/Metric Tonne +1.73%
- Citi US Economic Surprise Index 170.1 -7.0 points
- Citi Eurozone Economic Surprise Index 75.2 -4.4 points
- Citi Emerging Markets Economic Surprise Index 50.6 +2.2 points
- 10-Year TIPS Spread 1.68 -2.0 basis points
- 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 -94 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Higher: On gains in my industrial sector longs and index hedges
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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