Broad Equity Market Tone:
- Advance/Decline Line: Higher
- Sector Performance: Mixed
- Volume: Below Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 9.75 +.21%
- Euro/Yen Carry Return Index 136.99 -.42%
- Emerging Markets Currency Volatility(VXY) 7.90 +.64%
- S&P 500 Implied Correlation 16.28 unch.
- ISE Sentiment Index 102.0 -.32%
- Total Put/Call .88 +4.76%
- NYSE Arms .82 -39.0%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.67 -1.71%
- America Energy Sector High-Yield CDS Index 371.0 -.59%
- European Financial Sector CDS Index 48.18 -2.69%
- Western Europe Sovereign Debt CDS Index 3.96 +4.91%
- Asia Pacific Sovereign Debt CDS Index 15.26 -1.1%
- Emerging Market CDS Index 185.32 unch.
- iBoxx Offshore RMB China Corporate High Yield Index 145.50 +.01%
- 2-Year Swap Spread 17.5 -.5 basis point
- TED Spread 16.75 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -46.25 +3.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.24 +.60%
- 3-Month T-Bill Yield 1.29% +2.0 basis points
- Yield Curve 59.5 +1.0 basis point
- China Import Iron Ore Spot $65.17/Metric Tonne +4.27%
- Citi US Economic Surprise Index 55.70 -4.1 points
- Citi Eurozone Economic Surprise Index 54.40 -.2 basis point
- Citi Emerging Markets Economic Surprise Index 14.20 -.5 point
- 10-Year TIPS Spread 1.88 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 -77 open in Japan
- China A50 Futures: Indicating -24 open in China
- DAX Futures: Indicating -19 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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