Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 15.02 +1.9%
- Euro/Yen Carry Return Index 120.96 -.48%
- Emerging Markets Currency Volatility(VXY) 11.28 +8.99%
- S&P 500 Implied Correlation 40.57 +9.92%
- ISE Sentiment Index 77.0 -17.2%
- Total Put/Call 1.11 +24.72%
- NYSE Arms 1.20 +99.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 75.98 +.97%
- America Energy Sector High-Yield CDS Index 643.0 +.34%
- European Financial Sector CDS Index 100.46 +3.88%
- Western Europe Sovereign Debt CDS Index 20.82 +6.93%
- Asia Pacific Sovereign Debt CDS Index 41.82 +6.97%
- Emerging Market CDS Index 267.04 +.58%
- iBoxx Offshore RMB China Corporate High Yield Index 132.75 unch.
- 2-Year Swap Spread 24.75 -.75 basis point
- TED Spread 43.50 +.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -40.25 +.5 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.06 -.41%
- 3-Month T-Bill Yield .47% unch.
- Yield Curve 124.0 +3.0 basis points
- China Import Iron Ore Spot $79.81/Metric Tonne +7.68%
- Citi US Economic Surprise Index -7.90 unch.
- Citi Eurozone Economic Surprise Index 34.6 unch.
- Citi Emerging Markets Economic Surprise Index -4.60 unch.
- 10-Year TIPS Spread 1.91% +1.0 basis point
- 85.0% chance of Fed rate hike at Feb. 1 meeting, 87.1% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +75 open in Japan
- China A50 Futures: Indicating +9 open in China
- DAX Futures: Indicating +13 open in Germany
Portfolio:
- Higher: On gains in my tech/retail sector longs and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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