Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 13.36 +3.57%
- Euro/Yen Carry Return Index 126.42 +1.11%
- Emerging Markets Currency Volatility(VXY) 10.76 -.92%
- S&P 500 Implied Correlation 53.79 -4.31%
- ISE Sentiment Index 85.0 +7.89%
- Total Put/Call .90 -5.26%
- NYSE Arms .42 -65.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.76 -1.07%
- America Energy Sector High-Yield CDS Index 562.0 -4.04%
- European Financial Sector CDS Index 107.50 -.94%
- Western Europe Sovereign Debt CDS Index 23.48 +.54%
- Asia Pacific Sovereign Debt CDS Index 41.44 -4.81%
- Emerging Market CDS Index 265.31 -1.51%
- iBoxx Offshore RMB China Corporate High Yield Index 132.98 +.01%
- 2-Year Swap Spread 20.75 +1.0 basis point
- TED Spread 44.75 -1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -59.0 -2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.36 +.05%
- 3-Month T-Bill Yield .48% +1.0 basis point
- Yield Curve 125.0 +4.0 basis points
- China Import Iron Ore Spot $72.08/Metric Tonne -6.75%
- Citi US Economic Surprise Index 17.80 +1.0 point
- Citi Eurozone Economic Surprise Index 58.90 -4.7 points
- Citi Emerging Markets Economic Surprise Index -4.4 +.3 point
- 10-Year TIPS Spread 1.97% +7.0 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 +297 open in Japan
- China A50 Futures: Indicating +30 open in China
- DAX Futures: Indicating -29 open in Germany
Portfolio:
- Lower: On losses in my medical/biotech/tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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