Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.38 -7.6%
- Euro/Yen Carry Return Index 122.31 +.57%
- Emerging Markets Currency Volatility(VXY) 11.05 -3.32%
- S&P 500 Implied Correlation 29.24 -6.25%
- ISE Sentiment Index 93.0 -5.1%
- Total Put/Call .93 +2.2%
- NYSE Arms 1.16 +109.94%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.86 -2.86%
- America Energy Sector High-Yield CDS Index 652.0 +.87%
- European Financial Sector CDS Index 100.62 -2.55%
- Western Europe Sovereign Debt CDS Index 20.73 -4.36%
- Asia Pacific Sovereign Debt CDS Index 43.04 -6.60%
- Emerging Market CDS Index 268.77 -5.14%
- iBoxx Offshore RMB China Corporate High Yield Index 132.72 +.01%
- 2-Year Swap Spread 24.0 unch.
- TED Spread 41.25 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -47.50 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.91 +.37%
- 3-Month T-Bill Yield .49% -2.0 basis points
- Yield Curve 124.0 unch.
- China Import Iron Ore Spot $72.68/Metric Tonne -6.54%
- Citi US Economic Surprise Index -2.20 +4.1 points
- Citi Eurozone Economic Surprise Index 39.3 +2.6 points
- Citi Emerging Markets Economic Surprise Index -4.40 -1.0 point
- 10-Year TIPS Spread 1.87% +1.0 basis point
- 94.4% chance of Fed rate hike at Feb. 1 meeting, 95.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +207 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my medical/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
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