Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Slightly Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 21.34 -3.22%
- Euro/Yen Carry Return Index 119.79 +.27%
- Emerging Markets Currency Volatility(VXY) 10.63 +2.41%
- S&P 500 Implied Correlation 65.76 -2.84%
- ISE Sentiment Index 119.0 +158.7%
- Total Put/Call 1.39 +15.83%
- NYSE Arms 1.02 +19.88%
Credit Investor Angst:
- North American Investment Grade CDS Index 80.44 -.04%
- America Energy Sector High-Yield CDS Index 655.0 -1.95%
- European Financial Sector CDS Index 100.14 +.92%
- Western Europe Sovereign Debt CDS Index 19.44 +2.05%
- Asia Pacific Sovereign Debt CDS Index 36.43 +.18%
- Emerging Market CDS Index 250.33 -1.15%
- iBoxx Offshore RMB China Corporate High Yield Index 132.59 unch.
- 2-Year Swap Spread 24.25 +.5 basis point
- TED Spread 51.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -46.0 -1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.07 -.21%
- 3-Month T-Bill Yield .37% unch.
- Yield Curve 100.0 +2.0 basis points
- China Import Iron Ore Spot $65.0/Metric Tonne -.7%
- Citi US Economic Surprise Index -12.90 +.2 point
- Citi Eurozone Economic Surprise Index 36.2 -7.3 points
- Citi Emerging Markets Economic Surprise Index -3.0 +.2 point
- 10-Year TIPS Spread 1.69% -2.0 basis points
- 78.9% chance of Fed rate hike at Feb. 1 meeting, 80.6% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -15 open in Japan
- China A50 Futures: Indicating -17 open in China
- DAX Futures: Indicating -25 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/retail sector longs, index hedges and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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