Broad Equity Market Tone:
- Advance/Decline Line: Modestly Higher
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Outperforming
Equity Investor Angst:
- Volatility(VIX) 11.07 +5.3%
- Euro/Yen Carry Return Index 138.03 +.25%
- Emerging Markets Currency Volatility(VXY) 8.13 +.87%
- S&P 500 Implied Correlation 18.21 +34.89%
- ISE Sentiment Index 69.0 +30.2%
- Total Put/Call 1.19 +8.2%
- NYSE Arms .82 +18.73%
Credit Investor Angst:
- North American Investment Grade CDS Index 56.09 +.64%
- America Energy Sector High-Yield CDS Index 363.0 +.11%
- European Financial Sector CDS Index 52.20 +.47%
- Western Europe Sovereign Debt CDS Index 4.05 -.49%
- Asia Pacific Sovereign Debt CDS Index 16.07 -.06%
- Emerging Market CDS Index 192.50 +.83%
- iBoxx Offshore RMB China Corporate High Yield Index 145.22 +.01%
- 2-Year Swap Spread 20.25 unch.
- TED Spread 18.75 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -47.75 -3.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.41 -.13%
- 3-Month T-Bill Yield 1.22% -1.0 basis point
- Yield Curve 74.5 +5.0 basis points
- China Import Iron Ore Spot $62.60/Metric Tonne +.45%
- Citi US Economic Surprise Index 38.50 -1.5 points
- Citi Eurozone Economic Surprise Index 58.90 -2.5 basis points
- Citi Emerging Markets Economic Surprise Index 14.10 -.8 point
- 10-Year TIPS Spread 1.91 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 -171 open in Japan
- China A50 Futures: Indicating +42 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Higher: On gains in my tech/retail sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
No comments:
Post a Comment