Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 14.68 +3.60%
- Euro/Yen Carry Return Index 121.53 +.53%
- Emerging Markets Currency Volatility(VXY) 11.51 +2.04%
- S&P 500 Implied Correlation 33.60 -9.7%
- ISE Sentiment Index 104.0 +48.57%
- Total Put/Call .95 -10.38%
- NYSE Arms .51 -52.09%
Credit Investor Angst:
- North American Investment Grade CDS Index 76.98 +1.32%
- America Energy Sector High-Yield CDS Index 647.0 +.69%
- European Financial Sector CDS Index 103.25 +2.78%
- Western Europe Sovereign Debt CDS Index 21.66 +4.01%
- Asia Pacific Sovereign Debt CDS Index 46.07 +10.16%
- Emerging Market CDS Index 282.57 +5.81%
- iBoxx Offshore RMB China Corporate High Yield Index 132.71 -.03%
- 2-Year Swap Spread 24.0 -.75 basis point
- TED Spread 41.75 -1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -45.0 -4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.58 -.73%
- 3-Month T-Bill Yield .51% +4.0 basis points
- Yield Curve 124.0 unch.
- China Import Iron Ore Spot $77.77/Metric Tonne -2.56%
- Citi US Economic Surprise Index -6.30 +1.6 points
- Citi Eurozone Economic Surprise Index 36.7 +2.1 points
- Citi Emerging Markets Economic Surprise Index -3.40 +1.2 points
- 10-Year TIPS Spread 1.86% -5.0 basis points
- 92.5% chance of Fed rate hike at Feb. 1 meeting, 93.5% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +73 open in Japan
- China A50 Futures: Indicating -20 open in China
- DAX Futures: Indicating +18 open in Germany
Portfolio:
- Higher: On gains in my biotech/retail sector longs and emerging markets shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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