Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 9.99 -1.87%
- Euro/Yen Carry Return Index 138.37 +.28%
- Emerging Markets Currency Volatility(VXY) 8.07 -.49%
- S&P 500 Implied Correlation 15.31 +16.6%
- ISE Sentiment Index 98.0 -17.7%
- Total Put/Call .90 +3.45%
- NYSE Arms .74 -42.98%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.67 +.51%
- America Energy Sector High-Yield CDS Index 370.0 -3.11%
- European Financial Sector CDS Index 49.96 -2.53%
- Western Europe Sovereign Debt CDS Index 4.15 -1.54%
- Asia Pacific Sovereign Debt CDS Index 15.14 -3.07%
- Emerging Market CDS Index 174.84 +.24%
- iBoxx Offshore RMB China Corporate High Yield Index 144.93 +.1%
- 2-Year Swap Spread 21.0 -1.5 basis points
- TED Spread 22.5 -6.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -42.75 -.75 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.57 +.03%
- 3-Month T-Bill Yield 1.16% +3.0 basis points
- Yield Curve 75.0 -3.0 basis points
- China Import Iron Ore Spot $59.35/Metric Tonne +1.42%
- Citi US Economic Surprise Index 40.50 +.3 point
- Citi Eurozone Economic Surprise Index 58.70 -.3 basis point
- Citi Emerging Markets Economic Surprise Index 19.10 -4.5 points
- 10-Year TIPS Spread 1.88 unch.
- 98.1% chance of Fed rate hike at Jan. 31 meeting, 99.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +155 open in Japan
- China A50 Futures: Indicating +39 open in China
- DAX Futures: Indicating +3 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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