Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.87 +3.41%
- Euro/Yen Carry Return Index 121.47 +.87%
- Emerging Markets Currency Volatility(VXY) 10.43 +4.82%
- S&P 500 Implied Correlation 37.19 -9.46%
- ISE Sentiment Index 94.0 +38.2%
- Total Put/Call .89 -17.59%
- NYSE Arms .60 +29.25%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.42 -.26%
- America Energy Sector High-Yield CDS Index 640.0 -2.49%
- European Financial Sector CDS Index 96.70 -.02%
- Western Europe Sovereign Debt CDS Index 19.47 -1.39%
- Asia Pacific Sovereign Debt CDS Index 38.97 +5.90%
- Emerging Market CDS Index 269.54 +10.82%
- iBoxx Offshore RMB China Corporate High Yield Index 132.75 +.03%
- 2-Year Swap Spread 25.5 unch.
- TED Spread 43.0 -5.0 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -40.75 +3.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.49 -1.67%
- 3-Month T-Bill Yield .47% +4.0 basis points
- Yield Curve 121.0 +4.0 basis points
- China Import Iron Ore Spot $74.12/Metric Tonne +4.42%
- Citi US Economic Surprise Index -7.90 +1.1 points
- Citi Eurozone Economic Surprise Index 34.6 +1.2 points
- Citi Emerging Markets Economic Surprise Index -4.60 +.3 point
- 10-Year TIPS Spread 1.90% +4.0 basis points
- 81.2% chance of Fed rate hike at Feb. 1 meeting, 83.8% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +191 open in Japan
- China A50 Futures: Indicating -18 open in China
- DAX Futures: Indicating +52 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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