Market Index | 12/30/ 2011 | 10/26/ 2012 | Week Change | Simple YTD % |
Dow Industrials Avg | 12,217.56 | 13,107.21 | -1.80% | 7.28% |
S&P 500 | 1,257.60 | 1,411.94 | -1.51% | 12.27% |
Fed Funds Rate | 0.04% | 0.17% | 0.00% | 325.00% |
10 yr T-note Yld | 1.88% | 1.75% | -0.01% | -6.91% |
5 yr T-note Yld | 0.83% | 0.76% | 0.01% | -8.43% |
5 yr TIPS - 'Real' Yld | -0.89% | -1.40% | 0.08% | -57.30% |
Implied 5 yr Inflation % | 1.72% | 2.16% | -0.07% | 25.58% |
2 yr T-note Yld | 0.24% | 0.30% | 0.01% | 25.00% |
2-10 Yr Slope | 1.64% | 1.45% | -0.02% | -11.59% |
90 day T-bill Yld | 0.01% | 0.11% | 0.02% | 1000.00% |
Gold ($/oz) | $1,566.80 | $1,711.90 | -$9.67 | 9.26% |
WTI Oil ($/brl) | $98.83 | $86.28 | -$3.77 | -12.70% |
VIX "Worry Index" | 23.4 | 17.81 | 0.75 | -23.89% |
Credit Spreads | 12/30/ 2011 | 10/26/ 2012 | Week Change | Simple YTD % |
Inv Grade Credit Idx | 4.63% | 3.20% | 0.04% | -30.89% |
High Yield Credit Idx | 8.86% | 6.66% | 0.14% | -24.83% |
Markit CDX No Am Inv Grade | 120 | 98 | 7.69% | -18.33% |
Markit CDX No Am HiVol | 247 | 213 | 10.36% | -13.77% |
High Yield to 10 yr T-Note Spread | 698 | 491 | 3.15% | -29.66% |
Sunday, October 28, 2012
Market Data: Week Ending October 26, 2012
Sunday, October 21, 2012
Market Data: Week Ending October 19, 2012
Market Index | 12/30/ 2011 | 10/19/ 2012 | Week Change | Simple YTD % |
Dow Industrials Avg | 12,217.56 | 13,343.51 | 0.11% | 9.22% |
S&P 500 | 1,257.60 | 1,433.19 | 0.32% | 13.96% |
Fed Funds Rate | 0.04% | 0.17% | 0.03% | 325.00% |
10 yr T-note Yld | 1.88% | 1.76% | 0.10% | -6.38% |
5 yr T-note Yld | 0.83% | 0.75% | 0.09% | -9.64% |
5 yr TIPS - 'Real' Yld | -0.89% | -1.48% | 0.08% | -66.29% |
Implied 5 yr Inflation % | 1.72% | 2.23% | 0.01% | 29.65% |
2 yr T-note Yld | 0.24% | 0.29% | 0.03% | 20.83% |
2-10 Yr Slope | 1.64% | 1.47% | 0.07% | -10.37% |
90 day T-bill Yld | 0.01% | 0.09% | -0.01% | 800.00% |
Gold ($/oz) | $1,566.80 | $1,721.57 | -$38.13 | 9.88% |
WTI Oil ($/brl) | $98.83 | $90.05 | -$1.81 | -8.88% |
VIX "Worry Index" | 23.4 | 17.06 | 0.92 | -27.09% |
Credit Spreads | 12/30/ 2011 | 10/19/ 2012 | Week Change | Simple YTD % |
Inv Grade Credit Idx | 4.63% | 3.16% | 0.02% | -31.75% |
High Yield Credit Idx | 8.86% | 6.52% | -0.14% | -26.41% |
Markit CDX No Am Inv Grade | 120 | 91 | -6.19% | -24.17% |
Markit CDX No Am HiVol | 247 | 193 | -5.39% | -21.86% |
High Yield to 10 yr T-Note Spread | 698 | 476 | -4.80% | -31.81% |
Sunday, October 14, 2012
Market Data: Week Ending October 12, 2012
Market Index | 12/30/ 2011 | 10/12/ 2012 | Week Change | Simple YTD % |
Dow Industrials Avg | 12,217.56 | 13,328.85 | -2.11% | 9.10% |
S&P 500 | 1,257.60 | 1,428.59 | -2.26% | 13.60% |
Fed Funds Rate | 0.04% | 0.14% | -0.03% | 250.00% |
10 yr T-note Yld | 1.88% | 1.66% | -0.08% | -11.70% |
5 yr T-note Yld | 0.83% | 0.66% | -0.01% | -20.48% |
5 yr TIPS - 'Real' Yld | -0.89% | -1.56% | 0.09% | -75.28% |
Implied 5 yr Inflation % | 1.72% | 2.22% | -0.10% | 29.07% |
2 yr T-note Yld | 0.24% | 0.26% | 0.00% | 8.33% |
2-10 Yr Slope | 1.64% | 1.40% | -0.08% | -14.63% |
90 day T-bill Yld | 0.01% | 0.10% | 0.00% | 900.00% |
Gold ($/oz) | $1,566.80 | $1,759.70 | -$21.10 | 12.31% |
WTI Oil ($/brl) | $98.83 | $91.86 | $1.98 | -7.05% |
VIX "Worry Index" | 23.4 | 16.14 | 1.81 | -31.03% |
Credit Spreads | 12/30/ 2011 | 10/12/ 2012 | Week Change | Simple YTD % |
Inv Grade Credit Idx | 4.63% | 3.14% | -0.08% | -32.18% |
High Yield Credit Idx | 8.86% | 6.66% | -0.01% | -24.83% |
Markit CDX No Am Inv Grade | 120 | 97 | 2.11% | -19.17% |
Markit CDX No Am HiVol | 247 | 204 | 6.81% | -17.41% |
High Yield to 10 yr T-Note Spread | 698 | 500 | 1.42% | -28.37% |
Labels:
CDS,
credit spreads,
ISDA,
Market data,
treasury yields
Sunday, October 7, 2012
Market Data: Week Ending October 5, 2012
Market Index | 12/30/ 2011 | 10/5/ 2012 | Week Change | Simple YTD % |
Dow Industrials Avg | 12,217.56 | 13,610.16 | 1.27% | 11.40% |
S&P 500 | 1,257.60 | 1,460.93 | 1.39% | 16.17% |
Fed Funds Rate | 0.04% | 0.17% | 0.09% | 325.00% |
10 yr T-note Yld | 1.88% | 1.74% | 0.11% | -7.45% |
5 yr T-note Yld | 0.83% | 0.67% | 0.04% | -19.28% |
5 yr TIPS - 'Real' Yld | -0.89% | -1.65% | -0.12% | -85.39% |
Implied 5 yr Inflation % | 1.72% | 2.32% | 0.16% | 34.88% |
2 yr T-note Yld | 0.24% | 0.26% | 0.03% | 8.33% |
2-10 Yr Slope | 1.64% | 1.48% | 0.08% | -9.76% |
90 day T-bill Yld | 0.01% | 0.10% | 0.01% | 900.00% |
Gold ($/oz) | $1,566.80 | $1,780.80 | $6.90 | 13.66% |
WTI Oil ($/brl) | $98.83 | $89.88 | -$2.31 | -9.06% |
VIX "Worry Index" | 23.4 | 14.33 | -1.4 | -38.76% |
Credit Spreads | 12/30/ 2011 | 10/5/ 2012 | Week Change | Simple YTD % |
Inv Grade Credit Idx | 4.63% | 3.22% | -0.04% | -30.45% |
High Yield Credit Idx | 8.86% | 6.67% | -0.14% | -24.72% |
Markit CDX No Am Inv Grade | 120 | 95 | 7.95% | -20.83% |
Markit CDX No Am HiVol | 247 | 191 | -2.55% | -22.67% |
High Yield to 10 yr T-Note Spread | 698 | 493 | -4.83% | -29.37% |
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