- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 26.8 +1.7%
- Bloomberg Global Risk On/Risk Off Index 61.0 -103.0 points
- Euro/Yen Carry Return Index 128.39 +.25%
- Emerging Markets Currency Volatility(VXY) 11.79 unch.
- S&P 500 Implied Correlation 56.1 -6.0%
- ISE Sentiment Index 125.0 +10.0 points
- Total Put/Call .74 -9.8%
- NYSE Arms 1.87 +261.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 59.19 -.06%
- US Energy High-Yield OAS 875.39 -.43%
- European Financial Sector CDS Index 77.62 -.8%
- Italian/German 10Y Yld Spread 136.0 -3.0 basis points
- Asia Ex-Japan Investment Grade CDS Index 75.20 -2.85%
- Emerging Market CDS Index 224.41 -2.88%
- iBoxx Offshore RMB China Corporate High Yield Index 177.96 +.02%
- 2-Year Swap Spread 9.25 -.25 basis point
- TED Spread 13.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -11.75 +1.5 basis points
- MBS 5/10 Treasury Spread 92.0 -.75 basis point
- IHS Markit CMBX BBB- 6 66.75 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 59.46 +.20%
- 3-Month T-Bill Yield .08% -2.0 basis points
- Yield Curve 56.25 +4.0 basis points
- China Iron Ore Spot 116.94 USD/Metric Tonne -.09%
- Citi US Economic Surprise Index 167.9 -5.0 points
- Citi Eurozone Economic Surprise Index 49.60 +1.8 points
- Citi Emerging Markets Economic Surprise Index 50.6 +1.3 points
- 10-Year TIPS Spread 1.64 -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 +148 open in Japan
- China A50 Futures: Indicating +163 open in China
- DAX Futures: Indicating -31 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/biotech/consumer staple sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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