Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.42 unch.
- Euro/Yen Carry Return Index 123.36 +.26%
- Emerging Markets Currency Volatility(VXY) 10.88 -1.36%
- S&P 500 Implied Correlation 53.99 +3.49%
- ISE Sentiment Index 72.0 -30.10%
- Total Put/Call 1.02 +22.89%
- NYSE Arms 1.47 +80.43%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.12 -2.30%
- America Energy Sector High-Yield CDS Index 621.0 -2.83%
- European Financial Sector CDS Index 106.92 -1.69%
- Western Europe Sovereign Debt CDS Index 22.57 +1.94%
- Asia Pacific Sovereign Debt CDS Index 43.35 -1.91%
- Emerging Market CDS Index 264.03 -3.45%
- iBoxx Offshore RMB China Corporate High Yield Index 132.89 unch.
- 2-Year Swap Spread 19.5 -2.25 basis points
- TED Spread 43.75 -4.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -54.75 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.55 unch.
- 3-Month T-Bill Yield .48% +5.0 basis points
- Yield Curve 122.0 -3.0 basis points
- China Import Iron Ore Spot $74.90/Metric Tonne +6.48%
- Citi US Economic Surprise Index 5.80 +.2 point
- Citi Eurozone Economic Surprise Index 45.5 +2.3 points
- Citi Emerging Markets Economic Surprise Index -5.1 +.9 point
- 10-Year TIPS Spread 1.95% unch.
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +54 open in Japan
- China A50 Futures: Indicating +50 open in China
- DAX Futures: Indicating +17 open in Germany
Portfolio:
- Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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