Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Most Sectors Rising
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 25.3 -1.3%
- Bloomberg Global Risk On/Risk Off Index 376.0 -10.0 points
- Euro/Yen Carry Return Index 128.57 -.66%
- Emerging Markets Currency Volatility(VXY) 11.21 -.09%
- S&P 500 Implied Correlation 50.4 -1.7%
- ISE Sentiment Index 141.0 +15.0 points
- Total Put/Call .74 +5.7%
- NYSE Arms .52 -66.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 66.98 -1.21%
- US Energy High-Yield OAS 812.62 -.85%
- European Financial Sector CDS Index 61.26 -1.78%
- Italian/German 10Y Yld Spread 151.25 n/a
- Asia Ex-Japan Investment Grade CDS Index 56.71 -1.42%
- Emerging Market CDS Index 163.82 -.3%
- iBoxx Offshore RMB China Corporate High Yield Index 178.03 +.02%
- 2-Year Swap Spread 8.0 -.25 basis point
- TED Spread 13.5 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -3.75 +1.0 basis point
- MBS 5/10 Treasury Spread 93.5 +.25 basis point
- IHS Markit CMBX BBB- 6 66.5 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 60.88 +.22%
- 3-Month T-Bill Yield .10% -1.0 basis point
- Yield Curve 53.5 +.25 basis point
- China Iron Ore Spot 118.0 USD/Metric Tonne -3.12%
- Citi US Economic Surprise Index 177.1 -.9 point
- Citi Eurozone Economic Surprise Index 79.6 -3.6 points
- Citi Emerging Markets Economic Surprise Index 48.4 -1.2 points
- 10-Year TIPS Spread 1.70 +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 -105 open in Japan
- China A50 Futures: Indicating -36 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/industrial/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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