Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 13.1 +3.8%
- Euro/Yen Carry Return Index 127.84 +.03%
- Emerging Markets Currency Volatility(VXY) 11.12 -1.51%
- S&P 500 Implied Correlation 50.55 -1.56%
- ISE Sentiment Index 108.0 +44.0%
- Total Put/Call .60 -25.0%
- NYSE Arms .92 +3.87%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.38 -.57%
- America Energy Sector High-Yield CDS Index 437.0 -11.03%
- European Financial Sector CDS Index 93.30 -1.01%
- Western Europe Sovereign Debt CDS Index 19.78 -12.8%
- Asia Pacific Sovereign Debt CDS Index 36.27 -.06%
- Emerging Market CDS Index 242.69 -.86%
- iBoxx Offshore RMB China Corporate High Yield Index 133.13 +.01%
- 2-Year Swap Spread 22.0 -.75 basis point
- TED Spread 43.50 -.5 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -55.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.34 +.01%
- 3-Month T-Bill Yield .53% +2.0 basis points
- Yield Curve 131.0 -2.0 basis points
- China Import Iron Ore Spot $83.58/Metric Tonne -.19%
- Citi US Economic Surprise Index 32.60 +2.9 points
- Citi Eurozone Economic Surprise Index 59.0 -1.1 basis points
- Citi Emerging Markets Economic Surprise Index 3.20 +1.2 points
- 10-Year TIPS Spread 1.99% -1.0 basis point
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +90 open in Japan
- China A50 Futures: Indicating +25 open in China
- DAX Futures: Indicating +7 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging market shorts
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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