Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Slightly Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 12.69 +8.0%
- Euro/Yen Carry Return Index 127.80 +.53%
- Emerging Markets Currency Volatility(VXY) 11.40 +1.97%
- S&P 500 Implied Correlation 49.88 -2.92%
- ISE Sentiment Index 74.0 -14.94%
- Total Put/Call .80 -1.23%
- NYSE Arms .78 +2.35%
Credit Investor Angst:
- North American Investment Grade CDS Index 67.94 +.62%
- America Energy Sector High-Yield CDS Index 485.0 +4.93%
- European Financial Sector CDS Index 94.25 -4.22%
- Western Europe Sovereign Debt CDS Index 22.69 -5.20%
- Asia Pacific Sovereign Debt CDS Index 36.27 +.93%
- Emerging Market CDS Index 244.65 -2.30%
- iBoxx Offshore RMB China Corporate High Yield Index 133.12 +.07%
- 2-Year Swap Spread 22.75 -.25 basis point
- TED Spread 44.0 +1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -54.75 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.32 +.69%
- 3-Month T-Bill Yield .51% -2.0 basis points
- Yield Curve 133.0 -1.0 basis point
- China Import Iron Ore Spot $83.58/Metric Tonne +2.35%
- Citi US Economic Surprise Index 29.70 -.5 point
- Citi Eurozone Economic Surprise Index 60.10 -2.5 basis points
- Citi Emerging Markets Economic Surprise Index 2.0 -2.0 points
- 10-Year TIPS Spread 2.0% unch.
- 100.0% chance of Fed rate hike at Feb. 1 meeting, 100.0% chance at March 15 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -35 open in Japan
- China A50 Futures: Indicating -15 open in China
- DAX Futures: Indicating -25 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical sector longs, index hedges and emerging market shorts
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 25% Net Long
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