Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 15.05 -19.69%
- Euro/Yen Carry Return Index 120.78 -.26%
- Emerging Markets Currency Volatility(VXY) 10.28 +9.25%
- S&P 500 Implied Correlation 45.01 -25.12%
- ISE Sentiment Index 71.0 -15.48%
- Total Put/Call 1.07 -28.19%
- NYSE Arms .48 -50.32%
Credit Investor Angst:
- North American Investment Grade CDS Index 74.38 -1.88%
- America Energy Sector High-Yield CDS Index 659.0 +.41%
- European Financial Sector CDS Index 96.73 +.8%
- Western Europe Sovereign Debt CDS Index 19.75 +2.92%
- Asia Pacific Sovereign Debt CDS Index 37.07 +4.79%
- Emerging Market CDS Index 243.62 +4.40%
- iBoxx Offshore RMB China Corporate High Yield Index 132.72 -.01%
- 2-Year Swap Spread 25.5 +1.75 basis points
- TED Spread 48.0 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -44.5 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.67 -1.24%
- 3-Month T-Bill Yield .43% +1.0 basis point
- Yield Curve 117.0 +17.0 basis points
- China Import Iron Ore Spot $70.98/Metric Tonne +3.92%
- Citi US Economic Surprise Index -9.0 +.8 point
- Citi Eurozone Economic Surprise Index 33.4 +.1 point
- Citi Emerging Markets Economic Surprise Index -4.90 +1.7 points
- 10-Year TIPS Spread 1.86% +12.0 basis points
- 83.1% chance of Fed rate hike at Feb. 1 meeting, 85.4% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +1,014 open in Japan
- China A50 Futures: Indicating +71 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Higher: On gains in my medical/biotech/tech/retail sector longs and emerging markets shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
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