Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Below Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.85 +4.1%
- Euro/Yen Carry Return Index 124.18 -.78%
- Emerging Markets Currency Volatility(VXY) 11.0 -1.96%
- S&P 500 Implied Correlation 53.48 -.07%
- ISE Sentiment Index 75.0 -34.78%
- Total Put/Call .88 +11.4%
- NYSE Arms 1.03 unch.
Credit Investor Angst:
- North American Investment Grade CDS Index 73.36 +.15%
- America Energy Sector High-Yield CDS Index 621.0 +1.24%
- European Financial Sector CDS Index 111.0 +2.05%
- Western Europe Sovereign Debt CDS Index 23.39 -.36%
- Asia Pacific Sovereign Debt CDS Index 44.24 -.15%
- Emerging Market CDS Index 268.64 -.86%
- iBoxx Offshore RMB China Corporate High Yield Index 132.94 +.04%
- 2-Year Swap Spread 20.75 +1.0 basis point
- TED Spread 45.0 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -61.25 -6.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.36 +.35%
- 3-Month T-Bill Yield .46% -3.0 basis points
- Yield Curve 122.0 -2.0 basis points
- China Import Iron Ore Spot $80.83/Metric Tonne +1.53%
- Citi US Economic Surprise Index 11.60 +2.3 points
- Citi Eurozone Economic Surprise Index 66.0 +2.5 points
- Citi Emerging Markets Economic Surprise Index -4.4 +1.2 points
- 10-Year TIPS Spread 1.88% -5.0 basis points
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -46 open in Japan
- China A50 Futures: Indicating -13 open in China
- DAX Futures: Indicating -1 open in Germany
Portfolio:
- Lower: On losses in my medical/biotech/retail sector longs and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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