Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Slightly Below Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 12.47 -11.69%
- Euro/Yen Carry Return Index 127.85 +1.11%
- Emerging Markets Currency Volatility(VXY) 10.92 -.27%
- S&P 500 Implied Correlation 51.73 -2.85%
- ISE Sentiment Index 92.0 +12.2%
- Total Put/Call .82 -10.87%
- NYSE Arms .74 -25.81%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.14 -1.15%
- America Energy Sector High-Yield CDS Index 500.0 -9.07%
- European Financial Sector CDS Index 107.63 +2.75%
- Western Europe Sovereign Debt CDS Index 23.50 +1.38%
- Asia Pacific Sovereign Debt CDS Index 40.51 -2.33%
- Emerging Market CDS Index 266.42 -2.35%
- iBoxx Offshore RMB China Corporate High Yield Index 133.0 +.04%
- 2-Year Swap Spread 21.75 +1.25 basis points
- TED Spread 48.5 +1.0 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -58.25 +2.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.69 +.51%
- 3-Month T-Bill Yield .46% -1.0 basis point
- Yield Curve 127.0 -2.0 basis points
- China Import Iron Ore Spot $78.62/Metric Tonne +1.07%
- Citi US Economic Surprise Index 28.70 +4.0 points
- Citi Eurozone Economic Surprise Index 58.90 -2.5 points
- Citi Emerging Markets Economic Surprise Index 3.6 +2.1 points
- 10-Year TIPS Spread 1.97% +2.0 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 +136 open in Japan
- China A50 Futures: Indicating +46 open in China
- DAX Futures: Indicating +8 open in Germany
Portfolio:
- Slightly Lower: On losses in my index hedges and emerging markets shorts
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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