Broad Equity Market Tone:
- Advance/Decline Line: Slightly Higher
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.19 -.1%
- Euro/Yen Carry Return Index 138.62 +.23%
- Emerging Markets Currency Volatility(VXY) 8.03 umch.
- S&P 500 Implied Correlation 16.79 +3.5%
- ISE Sentiment Index 88.0 -12.9%
- Total Put/Call .79 -.15%
- NYSE Arms 1.25 +54.45%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.98 +.29%
- America Energy Sector High-Yield CDS Index 368.0 -.44%
- European Financial Sector CDS Index 50.20 +.44%
- Western Europe Sovereign Debt CDS Index 3.99 -3.74%
- Asia Pacific Sovereign Debt CDS Index 15.08 -.33%
- Emerging Market CDS Index 174.21 -.26%
- iBoxx Offshore RMB China Corporate High Yield Index 144.95 +.02%
- 2-Year Swap Spread 21.75 +.75 basis point
- TED Spread 22.25 -.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -43.0 -.25 basis point
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.61 +.07%
- 3-Month T-Bill Yield 1.16% unch.
- Yield Curve 73.75 -1.25 basis points
- China Import Iron Ore Spot $59.79/Metric Tonne +.74%
- Citi US Economic Surprise Index 41.10 +.36 point
- Citi Eurozone Economic Surprise Index 58.60 -.1 basis point
- Citi Emerging Markets Economic Surprise Index 18.70 -.4 point
- 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 +16 open in Japan
- China A50 Futures: Indicating +25 open in China
- DAX Futures: Indicating +1 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/retail/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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