Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Most Sectors Rising
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.47 +3.61%
- Euro/Yen Carry Return Index 137.62 -.30%
- Emerging Markets Currency Volatility(VXY) 8.05 -.74%
- S&P 500 Implied Correlation 14.66 +1.95%
- ISE Sentiment Index 73.0 -27.0%
- Total Put/Call .88 -4.35%
- NYSE Arms .69 -28.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.04 -.37%
- America Energy Sector High-Yield CDS Index 366.0 +.49%
- European Financial Sector CDS Index 50.70 +.63%
- Western Europe Sovereign Debt CDS Index 3.98 +1.02%
- Asia Pacific Sovereign Debt CDS Index 15.21 +2.39%
- Emerging Market CDS Index 180.40 -.26%
- iBoxx Offshore RMB China Corporate High Yield Index 145.06 +.05%
- 2-Year Swap Spread 21.0 +.25 basis point
- TED Spread 21.0-1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -42.25 +1.0 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.62 +.41%
- 3-Month T-Bill Yield 1.18% +1.0 basis point
- Yield Curve 70.5 -1.75 basis points
- China Import Iron Ore Spot $63.36/Metric Tonne +5.81%
- Citi US Economic Surprise Index 39.80 -1.1 points
- Citi Eurozone Economic Surprise Index 61.80 +3.1 basis points
- Citi Emerging Markets Economic Surprise Index 17.0 -1.3 points
- 10-Year TIPS Spread 1.87 unch.
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +53 open in Japan
- China A50 Futures: Indicating +49 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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