Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 14.09 +.14%
- Euro/Yen Carry Return Index 126.60 -.36%
- Emerging Markets Currency Volatility(VXY) 10.95 +.09%
- S&P 500 Implied Correlation 52.71 -4.51%
- ISE Sentiment Index 105.0 +25.0%
- Total Put/Call .98 +4.26%
- NYSE Arms .91 +36.38%
Credit Investor Angst:
- North American Investment Grade CDS Index 72.82 -.81%
- America Energy Sector High-Yield CDS Index 551.0 -3.23%
- European Financial Sector CDS Index 104.75 -1.76%
- Western Europe Sovereign Debt CDS Index 23.18 -.79%
- Asia Pacific Sovereign Debt CDS Index 41.47 -.38%
- Emerging Market CDS Index 272.82 -.17%
- iBoxx Offshore RMB China Corporate High Yield Index 132.95 -.02%
- 2-Year Swap Spread 20.5 +.75 basis point
- TED Spread 47.5 +1.75 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -61.0 -4.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 69.34 +.21%
- 3-Month T-Bill Yield .47% unch.
- Yield Curve 129.0 unch.
- China Import Iron Ore Spot $77.79/Metric Tonne -.73%
- Citi US Economic Surprise Index 24.70 +6.5 points
- Citi Eurozone Economic Surprise Index 61.40 +.1 point
- Citi Emerging Markets Economic Surprise Index 1.5 +3.0 points
- 10-Year TIPS Spread 1.95% -5.0 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 -51 open in Japan
- China A50 Futures: Indicating +12 open in China
- DAX Futures: Indicating -8 open in Germany
Portfolio:
- Slightly Higher: On gains in my medical/biotech/tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 25% Net Long
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