Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.24 +6.9%
- Euro/Yen Carry Return Index 126.87 +.24%
- Emerging Markets Currency Volatility(VXY) 10.98 +2.23%
- S&P 500 Implied Correlation 53.01 +6.3%
- ISE Sentiment Index 90.0 +1.12%
- Total Put/Call .93 +3.33%
- NYSE Arms .56 -8.69%
Credit Investor Angst:
- North American Investment Grade CDS Index 73.46 +.66%
- America Energy Sector High-Yield CDS Index 578.0 +2.80%
- European Financial Sector CDS Index 106.63 -.81%
- Western Europe Sovereign Debt CDS Index 23.37 -.47%
- Asia Pacific Sovereign Debt CDS Index 41.76 +.80%
- Emerging Market CDS Index 272.77 +2.69%
- iBoxx Offshore RMB China Corporate High Yield Index 132.98 unch.
- 2-Year Swap Spread 19.75 -1.0 basis point
- TED Spread 45.75 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -57.0 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.19 -.22%
- 3-Month T-Bill Yield .47% -1.0 basis point
- Yield Curve 129.0 +4.0 basis points
- China Import Iron Ore Spot $78.36/Metric Tonne +8.71%
- Citi US Economic Surprise Index 18.20 +.4 point
- Citi Eurozone Economic Surprise Index 61.30 +2.4 points
- Citi Emerging Markets Economic Surprise Index -1.5 +2.9 points
- 10-Year TIPS Spread 2.0% +3.0 basis points
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -73 open in Japan
- China A50 Futures: Indicating +30 open in China
- DAX Futures: Indicating -42 open in Germany
Portfolio:
- Slightly Lower: On losses in my medical/biotech/tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my (EEM) short
- Market Exposure: Moved to 25% Net Long
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