Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Most Sectors Declining
- Volume: Above Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 10.0 +6.38%
- Euro/Yen Carry Return Index 137.49 -.1%
- Emerging Markets Currency Volatility(VXY) 8.11 +.62%
- S&P 500 Implied Correlation 16.52 +15.9%
- ISE Sentiment Index 74.0 -9.76%
- Total Put/Call .88 -3.30%
- NYSE Arms 1.16 +40.46%
Credit Investor Angst:
- North American Investment Grade CDS Index 53.91 +1.57%
- America Energy Sector High-Yield CDS Index 361.0 -.87%
- European Financial Sector CDS Index 51.28 +1.22%
- Western Europe Sovereign Debt CDS Index 3.94 -1.01%
- Asia Pacific Sovereign Debt CDS Index 15.50 +1.91%
- Emerging Market CDS Index 187.50 +4.02%
- iBoxx Offshore RMB China Corporate High Yield Index 145.13 +.05%
- 2-Year Swap Spread 20.50 -.5 basis point
- TED Spread 19.50 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -44.0 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.23 -.58%
- 3-Month T-Bill Yield 1.20% +2.0 basis points
- Yield Curve 68.25 -2.25 basis points
- China Import Iron Ore Spot $62.66/Metric Tonne -1.1%
- Citi US Economic Surprise Index 40.50 +.7 point
- Citi Eurozone Economic Surprise Index 60.80 -1.0 basis point
- Citi Emerging Markets Economic Surprise Index 16.40 -.6 point
- 10-Year TIPS Spread 1.88 +1.0 basis point
- 100.0% chance of Fed rate hike at Jan. 31 meeting, 100.0% chance at March 21 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -71 open in Japan
- China A50 Futures: Indicating +42 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech/biotech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment