Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 12.44 -3.27%
- Euro/Yen Carry Return Index 123.11 +.38%
- Emerging Markets Currency Volatility(VXY) 11.0 -1.35%
- S&P 500 Implied Correlation 29.78 n/a
- ISE Sentiment Index 96.0 +37.14%
- Total Put/Call .82 -12.77%
- NYSE Arms .69 -38.45%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.68 -.78%
- America Energy Sector High-Yield CDS Index 633.0 +2.52%
- European Financial Sector CDS Index 108.75 +.04%
- Western Europe Sovereign Debt CDS Index 22.14 +.87%
- Asia Pacific Sovereign Debt CDS Index 44.35 -1.17%
- Emerging Market CDS Index 272.91 -2.66%
- iBoxx Offshore RMB China Corporate High Yield Index 132.89 +.08%
- 2-Year Swap Spread 21.75 -2.0 basis points
- TED Spread 48.0 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -53.50 -2.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.51 +.41%
- 3-Month T-Bill Yield .43% unch.
- Yield Curve 125.0 -3.0 basis points
- China Import Iron Ore Spot $70.34/Metric Tonne -3.37%
- Citi US Economic Surprise Index 5.60 -2.3 points
- Citi Eurozone Economic Surprise Index 43.2 +2.5 points
- Citi Emerging Markets Economic Surprise Index -6.0 -.2 point
- 10-Year TIPS Spread 1.95% unch.
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +54 open in Japan
- China A50 Futures: Indicating +15 open in China
- DAX Futures: Indicating +11 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/retail/biotech sector longs
- Disclosed Trades: None
- Market Exposure: 75% Net Long
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