Broad Equity Market Tone:
- Advance/Decline Line: Substantially Higher
- Sector Performance: Almost Every Sector Rising
- Volume: Around Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 11.72 -10.74%
- Euro/Yen Carry Return Index 138.56 -.14%
- Emerging Markets Currency Volatility(VXY) 8.10 unch.
- S&P 500 Implied Correlation 17.52 -24.19%
- ISE Sentiment Index 97.0 -33.56%
- Total Put/Call .90 -11.76%
- NYSE Arms 1.24 +40.9%
Credit Investor Angst:
- North American Investment Grade CDS Index 55.50 -2.94%
- America Energy Sector High-Yield CDS Index 388.0 -1.86%
- European Financial Sector CDS Index 52.27 -1.95%
- Western Europe Sovereign Debt CDS Index 3.98 +.76%
- Asia Pacific Sovereign Debt CDS Index 16.09 +.75%
- Emerging Market CDS Index 186.32 -3.74%
- iBoxx Offshore RMB China Corporate High Yield Index 145.36 +.02%
- 2-Year Swap Spread 18.0 +.25 basis point
- TED Spread 16.25 +.75 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -49.0 -1.25 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.67 +.48%
- 3-Month T-Bill Yield 1.26% +1.0 basis point
- Yield Curve 65.25 -.5 basis point
- China Import Iron Ore Spot $61.57/Metric Tonne -.44%
- Citi US Economic Surprise Index 44.20 +8.7 points
- Citi Eurozone Economic Surprise Index 59.60 -.7 basis point
- Citi Emerging Markets Economic Surprise Index 12.90 +.1 point
- 10-Year TIPS Spread 1.89 +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 +265 open in Japan
- China A50 Futures: Indicating +58 open in China
- DAX Futures: Indicating +45 open in Germany
Portfolio:
- Higher: On gains in my medical/tech/biotech/retail sector longs
- Disclosed Trades: None
- Market Exposure: 100% Net Long
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