Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 17.88 -4.44%
- Euro/Yen Carry Return Index 120.95 +.35%
- Emerging Markets Currency Volatility(VXY) 9.98 -1.67%
- S&P 500 Implied Correlation 58.41 -3.79%
- ISE Sentiment Index 101.0 +27.9%
- Total Put/Call 1.71 +42.5%
- NYSE Arms .94 +117.15%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.88 -1.68%
- America Energy Sector High-Yield CDS Index 657.0 -1.29%
- European Financial Sector CDS Index 95.95 -1.14%
- Western Europe Sovereign Debt CDS Index 19.19 -.83%
- Asia Pacific Sovereign Debt CDS Index 35.52 +.69%
- Emerging Market CDS Index 233.0 -.63%
- iBoxx Offshore RMB China Corporate High Yield Index 132.73 +.06%
- 2-Year Swap Spread 23.75 +1.5 basis points
- TED Spread 47.75 -1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.5 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.53 +.44%
- 3-Month T-Bill Yield .42% +2.0 basis points
- Yield Curve 100.0 unch.
- China Import Iron Ore Spot $68.30/Metric Tonne +1.29%
- Citi US Economic Surprise Index -9.80 +2.1 points
- Citi Eurozone Economic Surprise Index 33.3 -3.7 points
- Citi Emerging Markets Economic Surprise Index -6.60 -5.1 points
- 10-Year TIPS Spread 1.74% +1.0 basis point
- 86.6% chance of Fed rate hike at Feb. 1 meeting, 88.2% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +179 open in Japan
- China A50 Futures: Indicating +38 open in China
- DAX Futures: Indicating +47 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges, then added them back
- Market Exposure: 50% Net Long
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