- 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) 27.3 +1.7%
- Bloomberg Global Risk On/Risk Off Index 121.0 -20.0 points
- Euro/Yen Carry Return Index 127.57 +.17%
- Emerging Markets Currency Volatility(VXY) 11.97 +2.1%
- S&P 500 Implied Correlation 59.5 +3.4%
- ISE Sentiment Index 125.0 +28.0 points
- Total Put/Call .78 -10.3%
- NYSE Arms .99 -13.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.44 +7.45%
- US Energy High-Yield OAS 855.09 +1.07%
- European Financial Sector CDS Index 76.76 -1.8%
- Italian/German 10Y Yld Spread 136.0 -1.0 basis point
- Asia Ex-Japan Investment Grade CDS Index 73.06 -2.71%
- Emerging Market CDS Index 244.78 +5.31%
- iBoxx Offshore RMB China Corporate High Yield Index 178.29 +.03%
- 2-Year Swap Spread 8.75 +.5 basis point
- TED Spread 13.25 -.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -3.0 -.5 basis point
- MBS 5/10 Treasury Spread 95.0 -.5 basis point
- IHS Markit CMBX BBB- 6 66.5 -.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.31 -.82%
- 3-Month T-Bill Yield .09% unch.
- Yield Curve 53.5 -1.0 basis point
- China Iron Ore Spot 111.90 USD/Metric Tonne -3.13%
- Citi US Economic Surprise Index 164.2 -.8 point
- Citi Eurozone Economic Surprise Index 47.30 -.5 point
- Citi Emerging Markets Economic Surprise Index 49.7 unch.
- 10-Year TIPS Spread 1.62 +1.0 basis point
- 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 -156 open in Japan
- China A50 Futures: Indicating -134 open in China
- DAX Futures: Indicating -41 open in Germany
Portfolio:
- Slightly Higher: On gains in my (IWM)/(QQQ) hedges and my emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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