- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 27.6 +4.4%
- Bloomberg Global Risk On/Risk Off Index 156.0 -78.0 points
- Euro/Yen Carry Return Index 128.33 -.18%
- Emerging Markets Currency Volatility(VXY) 11.18 unch.
- S&P 500 Implied Correlation 56.3 +8.3%
- ISE Sentiment Index 110.0 +1.0 points
- Total Put/Call .91 -5.2%
- NYSE Arms 1.44 +73.5%
Credit Investor Angst:
- North American Investment Grade CDS Index 70.95 +2.0%
- US Energy High-Yield OAS 807.66 -.28%
- European Financial Sector CDS Index 61.59 -1.67%
- Italian/German 10Y Yld Spread 144.5 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 57.59 -.53%
- Emerging Market CDS Index 174.30 +3.18%
- iBoxx Offshore RMB China Corporate High Yield Index 178.11 +.02%
- 2-Year Swap Spread 8.25 unch.
- TED Spread 14.5 -2.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 +.75 basis point
- MBS 5/10 Treasury Spread 95.25 +1.25 basis points
- IHS Markit CMBX BBB- 6 67.0 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.65 -.27%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 54.5 +.5 basis point
- China Iron Ore Spot 120.63 USD/Metric Tonne -.31%
- Citi US Economic Surprise Index 172.5 +2.4 points
- Citi Eurozone Economic Surprise Index 69.70 -5.5 points
- Citi Emerging Markets Economic Surprise Index 50.3 -.3 point
- 10-Year TIPS Spread 1.68 unch.
- 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 -230 open in Japan
- China A50 Futures: Indicating -101 open in China
- DAX Futures: Indicating -41 open in Germany
Portfolio:
- Slightly Higher: On gains in my index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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