Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Most Sectors Rising
- Volume: Slightly Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.6 -1.3%
- Euro/Yen Carry Return Index 127.96 +.22%
- Emerging Markets Currency Volatility(VXY) 10.92 +.46%
- S&P 500 Implied Correlation 49.88 +3.57%
- ISE Sentiment Index 100.0 +28.21%
- Total Put/Call .85 +3.66%
- NYSE Arms 1.23 +26.96%
Credit Investor Angst:
- North American Investment Grade CDS Index 68.12 -2.625%
- America Energy Sector High-Yield CDS Index 481.0 -9.92%
- European Financial Sector CDS Index 99.50 -1.85%
- Western Europe Sovereign Debt CDS Index 23.0 -1.81%
- Asia Pacific Sovereign Debt CDS Index 37.17 -6.12%
- Emerging Market CDS Index 247.68 -4.21%
- iBoxx Offshore RMB China Corporate High Yield Index 132.97 +.02%
- 2-Year Swap Spread 22.50 -.5 basis point
- TED Spread 45.75 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -51.5 +4.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 70.31 +.49%
- 3-Month T-Bill Yield .50% +1.0 basis point
- Yield Curve 124.0 -4.0 basis points
- China Import Iron Ore Spot $82.25/Metric Tonne +3.16%
- Citi US Economic Surprise Index 30.10 unch.
- Citi Eurozone Economic Surprise Index 64.60 -1.5 points
- Citi Emerging Markets Economic Surprise Index 4.2 +.3 point
- 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 +173 open in Japan
- China A50 Futures: Indicating +61 open in China
- DAX Futures: Indicating +67 open in Germany
Portfolio:
- Slightly Higher: On gains in my retail/tech sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my (EEM) short
- Market Exposure: Moved to 75% Net Long
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