Broad Equity Market Tone:
- Advance/Decline Line: Around Even
- Sector Performance: Mixed
- Volume: Heavy
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.61 +5.78%
- Euro/Yen Carry Return Index 138.27 +.50%
- Emerging Markets Currency Volatility(VXY) 7.92 +1.15%
- S&P 500 Implied Correlation 16.28 n/a
- ISE Sentiment Index 79.0 -34.17%
- Total Put/Call .68 +1.49%
- NYSE Arms .54 -9.45%
Credit Investor Angst:
- North American Investment Grade CDS Index 52.72 +.16%
- America Energy Sector High-Yield CDS Index 384.0 +.44%
- European Financial Sector CDS Index 46.43 -1.87%
- Western Europe Sovereign Debt CDS Index 3.51 -4.1%
- Asia Pacific Sovereign Debt CDS Index 13.95 +1.53%
- Emerging Market CDS Index 182.05 +1.4%
- iBoxx Offshore RMB China Corporate High Yield Index 145.59 +.03%
- 2-Year Swap Spread 17.75 +.5 basis point
- TED Spread 19.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -48.5 +2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.31 -.05%
- 3-Month T-Bill Yield 1.28% +1.0 basis point
- Yield Curve 61.5 +3.5 basis points
- China Import Iron Ore Spot $67.92/Metric Tonne +.24%
- Citi US Economic Surprise Index 58.90 +.8 point
- Citi Eurozone Economic Surprise Index 81.90 -4.4 basis points
- Citi Emerging Markets Economic Surprise Index 9.60 -1.1 points
- 10-Year TIPS Spread 1.87 +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 +48 open in Japan
- China A50 Futures: Indicating -47 open in China
- DAX Futures: Indicating -2 open in Germany
Portfolio:
- Slightly Lower: On losses in my tech sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 75% Net Long
No comments:
Post a Comment